Non-parametric Power Spectrum Estimation with Circular Overlap

被引：2

作者：

Barbe, Kurt ^{[1
]}

Schoukens, Johan ^{[1
]}

Pintelon, Rik ^{[1
]}

机构：

[1] Vrije Univ Brussels, Dept ELEC, Brussels, Belgium

来源：

2008 IEEE INSTRUMENTATION AND MEASUREMENT TECHNOLOGY CONFERENCE, VOLS 1-5 | 2008年

关键词：

Power Spectrum; Overlap; Variance Reduction; Windowing;

D O I：

10.1109/IMTC.2008.4547057

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

This paper studies non-parametric power spectrum estimation with circular overlap. Although circular overlap imposes a discontinuity on the stochastic process under investigation; it is shown that for a (Gaussian) ergodic weakly stationary process the power spectrum estimator with circular overlap is asymptotically unbiased. Also the variance decreases due to the overlap. Furthermore, a closed form expression is derived for the lowest reachable variance, with respect to all possible fractions of overlap.

引用

页码：336 / 341

页数：6

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