Spectral Estimation : Fast Implementation Using the Gohberg – Semencul Factorization

We consider fast implementations of the weighted least-squares based iterative adaptive approach (IAA) for one-dimensional (1-D) and two-dimensional (2-D) spectral estimation of uniformly sampled data. IAA is a robust, user parameter-free and nonparametric adaptive algorithm that can work with a single data sequence or snapshot. Compared to the conventional periodogram, IAA can be used to significantly increase the resolution and suppress the sidelobe levels. However, due to its high computational complexity, IAA can only be used in applications involving small-sized data. We present herein novel fast implementations of IAA using the Gohberg-Semencul (G-S)-type factorization of the IAA covariance matrices. By exploiting the Toeplitz structure of the said matrices, we are able to reduce the computational cost by at least two orders of magnitudes even for moderate data sizes.

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