Bayesian interpretation of periodograms

Details Bayesian interpretation of periodograms Bayesian interpretation of periodograms

2009-08-22

arxiv.org/abs/0908.3262v1

IEEE Transactions on Signal Processing, vol. 49, no. 7, pp. 1988-1996, July 2001

Statistics

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Scientific paper

The usual nonparametric approach to spectral analysis is revisited within the regularization framework. Both usual and windowed periodograms are obtained as the squared modulus of the minimizer of regularized least squares criteria. Then, particular attention is paid to their interpretation within the Bayesian statistical framework. Finally, the question of unsupervised hyperparameter and window selection is addressed. It is shown that maximum likelihood solution is both formally achievable and practically useful.

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