A New Family of High-Resolution Multivariate Spectral Estimators

DOI10.1109/TAC.2013.2293218MaRDI QIDQ2983195zbMATH OpenFDO

Authors Mattia Zorzi

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.8290

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Abstract: In this paper, we extend the Beta divergence family to multivariate power spectral densities. Similarly to the scalar case, we show that it smoothly connects the multivariate Kullback-Leibler divergence with the multivariate Itakura-Saito distance. We successively study a spectrum approximation problem, based on the Beta divergence family, which is related to a multivariate extension of the THREE spectral estimation technique. It is then possible to characterize a family of solutions to the problem. An upper bound on the complexity of these solutions will also be provided. Simulations suggest that the most suitable solution of this family depends on the specific features required from the estimation problem.

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