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Enforcing positiveness on estimated spectral densities

Enforcing positiveness on estimated spectral densities

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Estimated spectral densities may often take on negative values in some frequency bands, and hence need be corrected to become positive for all frequencies. The Letter describes a most natural approach to enforcing the positiveness condition on an estimated spectral density, which is shown to lead to a semi-infinite optimisation problem. In the numerical example reported, the latter problem is solved by using the Matlab Optimization Toolbox.

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