Time-Varying Autoregressive (TVAR) Adaptive Order and Spectrum Estimation
Yuri I. Abramovich, N.K. Spencer, M.D. Turley · 2006
For a set of T independent N-variate Gaussian training samples (T < N), we derive maximum the likelihood (ML) estimate of its time-varying autoregressive model of order m, TVAR(m), and method to estimate the order of an autoregressive (AR) model, regardless of its stationary or time-varying nature. For the estimated order m, we then use the TVAR(m) model parameters to calculate the ML time-frequency spectrum estimate