Premium
Computationally efficient high‐order yule‐walker frequency estimation
Author(s) -
Kangas A.,
Stoica P.
Publication year - 1994
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.4480080205
Subject(s) - overdetermined system , singular value decomposition , algorithm , computer science , computational complexity theory , linear prediction , matrix (chemical analysis) , mathematics , mathematical optimization , materials science , composite material
This paper introduces a novel high‐order Yule‐Walker (HOYW) method for estimating sinusoidal frequencies. the proposed method does not require singular value decomposition (SVD) of the data covariance matrix, has a computational complexity similar to the overdetermined Yule‐Walker (OYW) method and a statistical accuracy close to that of the SVD‐based HOYW method, and is easy to implement in recursive form since it involves only linear operations on the data. an example of the performance that can be achieved by an adaptive form of this new HOWY method in a time‐varying scenario is also given.