TY - JOUR
T1 - Capon estimation of covariance sequences
AU - Li, Hongbin
AU - Stoica, Petre
AU - Li, Jian
PY - 1998
Y1 - 1998
N2 - Estimating the covariance sequence of a wide-sense stationary process is of fundamental importance in digital signal processing (DSP). A new method, which makes use of Fourier inversion of the Capon spectral estimates and is referred to as the Capon method, is presented in this paper. It is shown that the Capon power spectral density (PSD) estimator yields an equivalent autoregressive (AR) or autoregressive moving-average (ARMA) process; hence, the exact covariance sequence corresponding to the Capon spectrum can be computed in a rather convenient way. Also, without much accuracy loss, the computation can be significantly reduced via an approximate Capon method that utilizes the fast Fourier transform (FFT). Using a variety of ARMA signals, we show that Capon covariance estimates are generally better than standard sample covariance estimates and can be used to improve performances in DSP applications that are critically dependent on the accuracy of the covariance sequence estimates.
AB - Estimating the covariance sequence of a wide-sense stationary process is of fundamental importance in digital signal processing (DSP). A new method, which makes use of Fourier inversion of the Capon spectral estimates and is referred to as the Capon method, is presented in this paper. It is shown that the Capon power spectral density (PSD) estimator yields an equivalent autoregressive (AR) or autoregressive moving-average (ARMA) process; hence, the exact covariance sequence corresponding to the Capon spectrum can be computed in a rather convenient way. Also, without much accuracy loss, the computation can be significantly reduced via an approximate Capon method that utilizes the fast Fourier transform (FFT). Using a variety of ARMA signals, we show that Capon covariance estimates are generally better than standard sample covariance estimates and can be used to improve performances in DSP applications that are critically dependent on the accuracy of the covariance sequence estimates.
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U2 - 10.1007/BF01213968
DO - 10.1007/BF01213968
M3 - Article
AN - SCOPUS:0031697691
SN - 0278-081X
VL - 17
SP - 29
EP - 49
JO - Circuits, Systems, and Signal Processing
JF - Circuits, Systems, and Signal Processing
IS - 1
ER -