Capon estimation of covariance sequences

@article{Li1998CaponEO,
  title={Capon estimation of covariance sequences},
  author={Hongbin Li and Petre Stoica and Jun Yu Li},
  journal={Circuits, Systems and Signal Processing},
  year={1998},
  volume={17},
  pages={29-49}
}
Estimating the covariance sequence of a wide-sense stationary process is of fundamental importance in digital signal processing (DSP). A new method, which makes use of Fourier inversion of the Capon spectral estimates and is referred to as theCapon method, is presented in this paper. It is shown that the Capon power spectral density (PSD) estimator yields an equivalent autoregressive (AR) or autoregressive moving-average (ARMA) process; hence, theexact covariance sequence corresponsing to the… CONTINUE READING

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