A Single-Pass Algorithm for Spectrum Estimation With Fast Convergence

@article{Xiao2011ASA,
  title={A Single-Pass Algorithm for Spectrum Estimation With Fast Convergence},
  author={Han Xiao and Wei Biao Wu},
  journal={IEEE Transactions on Information Theory},
  year={2011},
  volume={57},
  pages={4720-4731}
}
We propose a single-pass algorithm for estimating spectral densities of stationary processes. Our algorithm is computationally fast in the sense that, when a new observation arrives, it can provide a real-time update within O(1) computation. The proposed algorithm is probabilistically fast in that, for stationary processes whose auto-covariances decay geometrically, the estimates from the algorithm converge at a rate which is optimal up to a multiplicative logarithmic factor. We also establish… CONTINUE READING

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