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Spectrum estimation via maximum likelihood estimation of Toeplitz constrained covariances

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4 Author(s)
Miller, M.I. ; Dept. of Electr. Eng., Washington Univ., St. Louis, MO, USA ; Turmon, M.J. ; O'Sullivan, J.A. ; Snyder, Donald L.

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

Published in:

Spectrum Estimation and Modeling, 1988., Fourth Annual ASSP Workshop on

Date of Conference:

3-5 Aug 1988