I am studying power-spectra and I want to find the best estimation method for my problem.
I stumbled upon Capon's method (sometimes also called minimum variance), which on paper looks very nice. On practice however, I am confronted with the question : How to choose the filter order (or length) ? Depending on what value I choose, I get completely different results -see figures-, and I need to know that I can trust what I see.
I have already looked through a lot of docs, but nowhere could I find an indication as to how one should choose the length (or order) of the filter. Can you help me ?