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The envelope of spectral power for stochastic processes

机译:随机过程的频谱功率包络

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摘要

It is well known that the maximum likelihood (ML) spectral estimate represents an envelope on spectral power which is consistent with estimated covariance lags. However, in computing the envelope, the ML method allows for spectra corresponding to complex-valued stochastic processes. We study the respective envelope for processes constrained to be real-valued at the outset. The resulting envelope is less conservative than the one provided by the ML method. A closed form expression exists for the new envelope.
机译:众所周知,最大似然(ML)频谱估计表示频谱功率的包络,其与估计的协方差滞后一致。但是,在计算包络线时,ML方法允许对应于复数值随机过程的光谱。我们研究从一开始就限制为实际价值的过程的各自包络。所得包络不如ML方法提供的包络保守。新信封存在一个封闭的窗体表达式。

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