On-line spectral estimation of nonstationary time series based on AR model parameter estimation and order selection with a forgetting factor
Satoru Goto, Masatoshi Nakamura, Kohei Uosaki · IEEE Transactions on Signal Processing · 1995
A new method for on-line spectral estimation of nonstationary time series via autoregressive (AR) model construction is proposed. The method consists of on-line parameter estimation based on the recursive least squares ladder estimation algorithm with a forgetting factor and on-line order determination based on AIC with some modifications. The effectiveness of the proposed method is demonstrated by computer simulation study and applying to the actual data of electroencephalogram (EEG).>