Spectrum estimation via maximum likelihood estimation of Toeplitzconstrained covariances
Miller, M.I.; Turmon, M.J.; Oapos;Sullivan, J.A.; Snyder, D.L.
Spectrum Estimation and Modeling, 1988., Fourth Annual ASSP Workshop on
Volume , Issue , 3-5 Aug 1988 Page(s):182 - 185
Digital Object Identifier 10.1109/SPECT.1988.206187
Summary:The authors apply the maximum-likelihood (ML) method to the
estimation of Toeplitz constrained covariances from Gaussian processes.
An iterative expectation-maximization algorithm is used to generate the
maximizers, and performance results are shown, demonstrating the
superior mean-squared error properties of the ML estimator to
conventional covariance estimates
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