Abstract
In this paper we propose a Capon-type estimator for the spectrum of a stationary time series. This estimator may be viewed as an alternative to classical periodogram-based estimators. Its advantage is that it copes with the "leakage effect" by using implicitly automatic adaptive windowing. We show its asymptotic equivalence to a random variable which is a quadratic form in the observations, thus obtaining the asymptotic normality of the Capon estimator. We also study its asymptotic bias and variance.
Citation
Evangelos E. Ioannidis. "On the Behavior of a Capon-Type Spectral Density Estimator." Ann. Statist. 22 (4) 2089 - 2114, December, 1994. https://doi.org/10.1214/aos/1176325773
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