On-line spectral estimation of nonstationary time series based onAR model parameter estimation and order selection with a forgettingfactor

Authors:
S. Goto;M. Nakamura;K. Uosaki
Affiliations:
Dept. of Electr. Eng., Saga Univ.;-;-
Venue:
IEEE Transactions on Signal Processing
Year:
1995

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Abstract

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)