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Minimum bias multiple taper spectral estimation

Abstract

Two families of orthonormal tapers are proposed for multi-taper spectral analysis: minimum bias tapers, and sinusoidal tapers {v(k)}\{ \bf{v}^{(k)}\}, where vn(k)=2N+1sinπknN+1v_n^{(k)}=\sqrt{\frac{2}{N+1}}\sin\frac{\pi kn}{N+1}, and NN is the number of points. The resulting sinusoidal multitaper spectral estimate is S^(f)=12K(N+1)j=1Ky(f+j2N+2)y(fj2N+2)2\hat{S}(f)=\frac{1}{2K(N+1)} \sum_{j=1}^K |y(f+\frac{j}{2N+2}) -y(f-\frac{j}{2N+2})|^2, where y(f)y(f) is the Fourier transform of the stationary time series, S(f)S(f) is the spectral density, and KK is the number of tapers. For fixed jj, the sinusoidal tapers converge to the minimum bias tapers like 1/N1/N. Since the sinusoidal tapers have analytic expressions, no numerical eigenvalue decomposition is necessary. Both the minimum bias and sinusoidal tapers have no additional parameter for the spectral bandwidth. The bandwidth of the jjth taper is simply 1N\frac{1}{N} centered about the frequencies ±j2N+2\frac{\pm j}{2N+2}. Thus the bandwidth of the multitaper spectral estimate can be adjusted locally by simply adding or deleting tapers. The band limited spectral concentration, wwV(f)2df\int_{-w}^w |V(f)|^2 df, of both the minimum bias and sinusoidal tapers is very close to the optimal concentration achieved by the Slepian tapers. In contrast, the Slepian tapers can have the local bias, 1/21/2f2V(f)2df\int_{-1/2}^{1/2} f^2 |V(f)|^2 df, much larger than of the minimum bias tapers and the sinusoidal tapers.

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