Multivariate Spectral Estimation based on the concept of Optimal Prediction
Optimization and Control
2014-06-27 v2
Abstract
In this technical note, we deal with a spectrum approximation problem arising in THREE-like multivariate spectral estimation approaches. The solution to the problem minimizes a suitable divergence index with respect to an a priori spectral density. We derive a new divergence family between multivariate spectral densities which takes root in the prediction theory. Under mild assumptions on the a priori spectral density, the approximation problem, based on this new divergence family, admits a family of solutions. Moreover, an upper bound on the complexity degree of these solutions is provided.
Cite
@article{arxiv.1402.0069,
title = {Multivariate Spectral Estimation based on the concept of Optimal Prediction},
author = {Mattia Zorzi},
journal= {arXiv preprint arXiv:1402.0069},
year = {2014}
}