Spectrum Estimation and Modeling
Petar M. Djurić, Steven Kay · 2017
The main objective of spectrum estimation is the determination of the power spectral density (PSD) of a random process. The PSD is a function that plays a fundamental role in the analysis of stationary random processes in which it quantifies the distribution of total power as a function of frequency. The estimation of the PSD is based on a set of observed data samples from the process. A necessary assumption is that the random process is at least wide-sense stationary, that is, its first- and second-order statistics do not change with time. The estimated PSD provides information about the structure of the random process which can then be used for refined modeling, prediction, or filtering of the observed process.