An intrinsic metric for power spectral density functions
Optimization and Control
2009-11-11 v1 Probability
Abstract
We present an intrinsic metric that quantifies distances between power spectral density functions. The metric was derived by the author in a recent arXiv-report (math.OC/0607026) as the geodesic distance between spectral density functions with respect to a particular pseudo-Riemannian metric motivated by a quadratic prediction problem. We provide an independent verification of the metric inequality and discuss certain key properties of the induced topology.
Keywords
Cite
@article{arxiv.math/0608486,
title = {An intrinsic metric for power spectral density functions},
author = {Tryphon T. Georgiou},
journal= {arXiv preprint arXiv:math/0608486},
year = {2009}
}
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7 pages