When estimating the correlation/spectral structure of a locally stationary process, one has to make two important decisions. First, one should choose the so-called estimation bandwidth, inversely proportional to the effective width of the local analysis window, in the way that complies with the degree of signal nonstationarity. Too small bandwidth may result in an excessive estimation bias, while too large bandwidth may cause excessive...

This paper proposes methods for the determination of covariance matrices of Msplit(q) estimators. The solutions presented here allow Msplit(q) estimation to be supplemented by the operations from the domain of accuracy analysis (especially that concerning estimators of parameters). Theoretical forms of covariance matrices of Msplit(q) estimators were established using the empirical influence functions and the equivalent covariance...

W artykule rozważa się problem estymacji stanu w rozproszonym systemach wieloczujnikowym. W systemach takich stan obserwowanego obiektu jest estymowany przez pewien zbiór estymatorów lokalnych. Każdy estymator lokalny wykonuje fuzję danych pochodzących ze skojarzonego z nim czujnika lub czujników z danymi pochodzącymi z innych lokalnych estymatorów. W wyniku operacji fuzji oraz dodatkowo operacji filtracji korzystając np. z filtru...

The problem of estimating spectral density of a nonstationary process satisfying local stationarity conditions is considered. The proposed solution is a two step procedure based on local autoregressive (AR) modeling. In the first step Bayesian-like averaging of AR models, differing in order, is performed. The main contribution of the paper is development of a new final-prediction-error-like statistic, which can be used to select...

Autoregressive modeling is a widespread parametricspectrum estimation method. It is well known that, in the caseof stationary processes with unknown order, its accuracy canbe improved by averaging models of different complexity usingsuitably chosen weights. The paper proposes an extension of thistechnique to the case of multivariate locally stationary processes.The proposed solution is based on local autoregressive...