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Falconi, Lucia; Ferrante, Augusto; Zorzi, Mattia
Automatica (Oxford), January 2023, 2023-01-00, Letnik: 147Journal Article
The paper deals with the problem of estimating the M2 (i.e. multivariate and multidimensional) spectral density function of a stationary random process or random field. We propose the f-truncated periodogram, i.e. a truncated periodogram where the truncation point is a suitable function f of the sample size. We discuss the asymptotic consistency of the estimator and we provide three concrete problems that can be solved using the proposed approach. Simulation results show the effectiveness of the procedure.
