Note on nonparametric spectral analysis of wideband spectrum with missing data via sample-and-hold interpolation and deconvolution |
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Affiliation: | Max Planck Institute for Dynamics and Self-Organization, Am Faßberg 17, 37077 Göttingen, Germany |
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Abstract: | In 1] a procedure for bias-free estimation of the autocorrelation function is introduced for equidistantly sampled data with randomly occurring samples being invalid. The method incorporates sample-and-hold interpolation of the missing data points. The occurring dynamic error of the primary estimate of the correlation function is treated by a deconvolution procedure with two parameters and with , which are the on-diagonal and the aside-diagonal parameters of a specific correction matrix (at all lag times except zero). The parameters and were obtained as a function of the probability α of a sample to be valid by numerical simulation. However, explicit expressions for the parameters and can be derived, which might improve the usability of the deconvolution procedure in 1]. |
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Keywords: | Missing data Power spectral density estimation Interpolation Deconvolution |
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