# 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} }

- Published in IEEE Transactions on Information Theory 2011
DOI:10.1109/TIT.2011.2145610

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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