On the convergence of the minimum variance spectral estimator in nonstationary noise

  • Authors:

  • A. E. Frazho;P. J. Sherman

  • Affiliations:

  • Sch. of Aeronaut. & Astronaut., Purdue Univ., West Lafayette, IN;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

A simple proof is presented of the convergence of the minimum variance spectral estimator to the point spectrum, as the order of the covariance matrix goes to infinity. This is done in the multichannel setting where the corrupting unknown noise process is allowed to be nonstationary. Explicit bounds are also obtained on the rate of convergence