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We propose to smooth the Cholesky decomposition of a raw estimate of a multivariate spectrum, allowing different degrees of smoothness for different elements. The final spectral estimate is ...
Catalog : MECH.5190 Engineering Spectral Analysis (Formerly 22.519) Id: 003878 Credits Min: 3 Credits Max: 3 Description Analytical and experimental background for the fundamental understanding of ...
In order to ensure that the final estimate of the multivariate spectrum is positive definite while allowing enough flexibility in estimating each of its elements, we propose to smooth the Cholesky ...
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