CROSS-SPECTRAL MOMENT AND SVD METHODS ESTIMATING THE PARAMETERS OF CLOSE SINUSOIDS IN COLORED NOISE

摘要

The cross-spectral estimation methods are efficient in estimating the parameters of sinusoidal signals embedded in colored noise. But up to now, only FPT and cross-periodogram methods are used in this field, the modern auto-spectral estimation method is introduced into cross-spectral estimation in this paper, meanwhile the cross-correlation based Yule-Walker equation is proposed theoretically and the moment and singular-value decomposition (SVD)) algorithms for cross-spectral estimation have been developed. Finally, a numerical example is given for comparing the presented methods with the well-known Cadzow’s SVD method.