Frequency estimation by principal component AR spectral estimation method without eigendecomposition

An eigenvalue filtering method is proposed that applies a transformation to an autocorrelation matrix, which has the effect of truncating the undesired eigenvalues so that the corresponding matrix function closely approximates the pseudoinverse. It is shown using a computer simulation that compared to the forward-backward method, the proposed method enhances the threshold in SNR by about 6-8 dB. Further improvement is obtained by a simple subset selection method and a second eigenvalue filtering iteration.>