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Keywords
(10)
Frequency Domain
Frequency Domain Analysis
Indexing Terms
Moving Average
Moving Average Process
Prediction Error Method
Spectral Representation
Time Series
Time Series Analysis
Transfer Function
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Time series analysis in the frequency domain
Time series analysis in the frequency domain,10.1109/78.738253,IEEE Transactions on Signal Processing,Rik Pintelon,Johan Schoukens
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Time series analysis in the frequency domain
(
Citations: 13
)
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Rik Pintelon
,
Johan Schoukens
This correspondence presents a parametric
frequency domain
identification algorithm for autoregressive
moving average
(ARMA) processes that does not suffer from spectral leakage errors. It is based on an extended
transfer function
model that takes into account the begin and end effect of the finite data record. The relationship with the onestepahead
prediction error method
is established. The advantages of the proposed method are easy prefiltering and leakagefree
spectral representation
of the raw data
Journal:
IEEE Transactions on Signal Processing  TSP
, vol. 47, no. 1, pp. 206210, 1999
DOI:
10.1109/78.738253
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Citation Context
(8)
...In fact, AR estimation can be approached from a frequency perspective as well [
11
]...
...This spectral leakage may cause a biased solution [
11
]...
...From our experience with many other simulated scenarios that we explored, the answer thereto lies on the spectral leakage caused by the discrete Fourier transform [
11
], and disregarded in the problem statement...
...One way to compensate the spectral leakage is with the methodology proposed in [
11
]...
Luis Weruaga
.
FrequencySelective NoiseCompensated Autoregressive Estimation
...For the sake of simplicity, this leakage, which has been object of careful analysis [
14
], will be disregarded in the forthcoming analysis...
...As stated in [13], [
14
], the AR estimation from the spectral samples corresponds to the minimization of the following functional:...
Luis Weruaga
.
AllPole Estimation in Spectral Domain
...The difference between (2) and (3) is negligible for large . In [
9
] this frequency domain approach is further refined by also taking the initial state of the noise filter into account to obtain a leakage free spectral representation...
Anders Blomqvist
,
et al.
On The Relation Between Weighted FrequencyDomain MaximumLikelihood P...
...End effects from LTV operations, which are more complicated than end effects from LTI operations, cannot be removed using extended transfer function approaches [
11
]...
...As a brief comparison, the extended transfer function method of [
11
] attempts to subtract out the effects of spectral leakage, while the parallelstructure method attempts to eliminate systematic errors using commonmode rejection...
...As a result, the method of [
11
] is simpler to implement...
...For example, the method of [
11
] is not applicable to removing artifacts from an LTV detrend...
DAVID S. BAYARD
,
et al.
Performance Characterization of a Stellar Interferometer
...This can be done either in the time domain [1] or in the frequency domain [2] leading to exactly the same results [
14
]...
Fjo De Ridder
,
et al.
Modified AIC and MDL model selection criteria for short data records
References
(9)
Time series analysis: forecasting and control
(
Citations: 6500
)
G. E. P. Box
,
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Published in 1976.
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(
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Published in 1988.
System identification: theory for the user
(
Citations: 5595
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L. Ljung
Published in 1987.
Frequency domain system identification using arbitrary signals
(
Citations: 63
)
R. Pintelon
,
J. Schoukens
,
G. Vandersteen
Journal:
IEEE Transactions on Automatic Control  IEEE TRANS AUTOMAT CONTR
, vol. 42, no. 12, pp. 17171720, 1997
An optimal instrumental variable method for ARMA spectral estimation
(
Citations: 3
)
Pei Guo Zou
,
Lian Shi Du
Journal:
IEEE Transactions on Signal Processing  TSP
, vol. 39, no. 12, pp. 27282733, 1991
Sort by:
Citations
(13)
FrequencySelective NoiseCompensated Autoregressive Estimation
Luis Weruaga
Journal:
IEEE Transactions on Circuits and Systems Iregular Papers  IEEE TRANS CIRCUIT SYSTI
, vol. 58, no. 10, pp. 24692476, 2011
AllPole Estimation in Spectral Domain
(
Citations: 4
)
Luis Weruaga
Journal:
IEEE Transactions on Signal Processing  TSP
, vol. 55, no. 10, pp. 48214830, 2007
MaximumLikelihood Autoregressive Estimation on Incomplete Spectra
(
Citations: 2
)
L. Weruaga
,
Mariacn Kepesi
Conference:
International Conference on Acoustics, Speech, and Signal Processing  ICASSP
, vol. 3, pp. III1001III1004, 2007
Improved Fourier analysis using parametric frequencydomain transferfunction estimators
(
Citations: 1
)
Joris Vanherzeele
,
Patrick Guillaume
,
Steve Vanlanduit
Journal:
Mechanical Systems and Signal Processing  MECH SYST SIGNAL PROCESS
, vol. 21, no. 4, pp. 17041716, 2007
On The Relation Between Weighted FrequencyDomain MaximumLikelihood Power Spectral Estimation and the Prefiltered Covariance Extension Approach
(
Citations: 1
)
Anders Blomqvist
,
Bo Wahlberg
Journal:
IEEE Transactions on Signal Processing  TSP
, vol. 55, no. 1, pp. 384389, 2007