A SUBSPACE ALGORITHM FOR EXTRACTING PERIODIC COMPONENTS FROM MULTIVARIABLE SIGNALS IN COLORED NOISE

摘要

This paper deals with estimation of the oscillatory components of a stationary-process by subspace identification. Classical methods of harmonic retrieval work for the scalar case and do not seem to apply to vector-valued signals. We propose a subspace method which seems to deal quite satisfactorily with the problem even in the presence of additive colored noise.