Regularization of kernels for estimation of the Wigner spectrum of Gaussian stochastic processes

  1. Patrick Wahlberg

Abstract

Abstract.We study estimation of theWigner time-frequency spectrum of Gaussian stochastic processes. Assuming the covariance belongs to the Feichtinger algebra, we construct an estimation kernel that gives a mean square error arbitrarily close to the infimum over kernels in the Feichtinger algebra.
2000 AMS Mathematics Subject Classification: Primary: 60G15, 42B35, 60G35, 62M15, 94A12.

 

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Probability and Mathematical Statistics

30, z. 2, 2010

Pages from 369 to 381

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