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Variance Expressions for Spectra Estimated Using Auto-Regressions
Chinese Academy of Sciences, China.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2001 (English)Report (Other academic)
Abstract [en]

An expression for the variance of the estimated spectrum based on auto-regressions is developed. This expression is asymptotic in the number of data, but exact in the model order. As the order tends to infinity it converges to the well known result that the variance is proportional to the model order times the square of the spectrum itself. The exact expression gives insight into the character of this convergence, its speed and its dependence on the poles of the underlying AR-process.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2001. , 15 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2361
Keyword [en]
Auto-regression, Spectra, Variance
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-55844ISRN: LiTH-ISY-R-2361OAI: diva2:316693
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-10-03Bibliographically approved

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Ljung, Lennart
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Automatic ControlThe Institute of Technology
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