Abstract
A self-contained statistical analysis of the Pisarenko method for estimating sinusoidal frequencies from signal measurements corrupted by white noise is presented. An explicit formula is provided for the asymptotic covariance matrix of the joint estimation errors of the minimum eigenvalue and the minimum eigenfilter coefficients of the data covariance matrix. Our theoretical results extend and reinforce previous results obtained by Sakai. A comparison with the performance achieved by the Yule-Walker Method is also reported.
| Original language | English |
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| Pages (from-to) | 1029-1034 |
| Number of pages | 6 |
| Journal | IFAC Proceedings Series |
| Volume | 2 |
| Issue number | 8 |
| State | Published - 1989 |
| Event | Eighth IFAC/IFORS Symposium on Identification and System Parameter Estimation 1988. Part 1 - Beijing, China Duration: Aug 27 1988 → Aug 31 1988 |