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December, 1994 On the Behavior of a Capon-Type Spectral Density Estimator
Evangelos E. Ioannidis
Ann. Statist. 22(4): 2089-2114 (December, 1994). DOI: 10.1214/aos/1176325773


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.


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Evangelos E. Ioannidis. "On the Behavior of a Capon-Type Spectral Density Estimator." Ann. Statist. 22 (4) 2089 - 2114, December, 1994.


Published: December, 1994
First available in Project Euclid: 11 April 2007

zbMATH: 0831.62070
MathSciNet: MR1329184
Digital Object Identifier: 10.1214/aos/1176325773

Primary: 62M15
Secondary: 62E20 , 62G05 , 62M10

Keywords: Capon estimator , covariance matrix estimation , high resolution estimator , leakage effect , maximum likelihood method (MLM) , spectral estimator , time series analysis

Rights: Copyright © 1994 Institute of Mathematical Statistics


Vol.22 • No. 4 • December, 1994
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