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ARMA spectral estimation
4.0
Gaussian white noise signal + input signal for square wave, square wave signal baseband is 1kHz, the amplitude to 1, 0.2 per cent of the variance of Gaussian white noise, a value of 0, the sampling frequency is 20kHz. Trial periodogram and ARMA spectrum estimation (SVD-TLS) estimates that the power spectrum of the signal, and compared their results
3. ARMA model (1) stationary ARMA power spectral density:
(2) any ARMA:
Can be written as:
The power spectrum:
4. the Cadzow spectral estimation: (1) the Cadzow ARMA power spectral decomposition into two parts
(2) calculation of the NI
5. p order to determine: (1) the singular value decomposition:
(2) the order defined, v (k) less than a specified value (for example, 0.99995):
6. a (I) calculated as follows: (1) Sp matrix:
(2) a calculation:
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