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Contents of PMS, Vol. 30, Fasc. 2,
pages 369 - 381
 

REGULARIZATION OF KERNELS FOR ESTIMATION OF THE WIGNER SPECTRUM OF GAUSSIAN STOCHASTIC PROCESSES

Patrik Wahlberg

Abstract: We study estimation of the Wigner time-frequency spectrum of Gaussian stochastic processes. Assuming the covariance belongs to the Feichtinger algebra, we construct an estimation kernel that gives a mean square error arbitrarily close to the infimum over kernels in the Feichtinger algebra.

2000 AMS Mathematics Subject Classification: Primary: 60G15, 42B35, 60G35, 62M15, 94A12.

Keywords and phrases: Time-frequency analysis, Gaussian stochastic processes, Wigner distribution, Wigner spectrum, minimum mean square error estimation, Cohen’s class, the Feichtinger algebra.

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