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arXiv · 2301.06784

On the Statistical Consistency of a Generalized Cepstral Estimator

Bin Zhu·Mattia Zorzi
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Abstract

We consider the problem to estimate the generalized cepstral coefficients of a stationary stochastic process or stationary multidimensional random field. It turns out that a naive version of the periodogram-based estimator for the generalized cepstral coefficients is not consistent. We propose a consistent estimator for those coefficients. Moreover, we show that the latter can be used in order to build a consistent estimator for a particular class of cascade linear stochastic systems.

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Bin Zhu, Mattia Zorzi. 2023-01-17. On the Statistical Consistency of a Generalized Cepstral Estimator. https://arxiv.org/abs/2301.06784

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