Time series analysis in the frequency domain

被引：16
|
作者：
Pintelon, R [1 ]
Schoukens, J [1 ]
机构：
[1] Free Univ Brussels, Brussels, Belgium
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1999年 / 47卷 / 01期
关键词：
autoregressive moving average processes; frequency domain analysis; time series;
D O I：
10.1109/78.738253
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 correspondence presents a parametric frequency domain identification algorithm for autoregressive moving average (ARMA) processes that does not suffer from spectral leakage errors. It is based on an extended transfer function model that takes into account the begin and end effect of the finite data record. The relationship with thf one-step-ahead prediction error method is established. The advantages of the proposed method are easy prefiltering and leakage-free spectral representation of the raw data.
引用
收藏
页码：206 / 210
页数：5
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