The Retrieval of Harmonics from a Covariance Function

Abstract

A new method for retrieving harmonics from a covariance function is introduced. The method is based on a theorem of Caratheodory about the trigonometrical moment problem. The relation between this method and the ‘maximum entropy’ spectral estimator is discussed, and the effect of a small addition of a noise component is investigated. A numerical example is discussed. Copyright © 1973, Wiley Blackwell. All rights reserved