Likelihood Analysis of Power Spectra and Generalized Moment Problems

DOI10.1109/TAC.2017.2672862MaRDI QIDQ4566788zbMATH OpenOpenAlexFDO

Authors Tryphon T. Georgiou, Anders Lindquist

Publication date 27 June 2018

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

Full work available at URL https://arxiv.org/abs/1605.03652

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15) Design techniques (robust design, computer-aided design, etc.) (93B51) Filtering in stochastic control theory (93E11)

Abstract: We develop an approach to spectral estimation that has been advocated by Ferrante, Masiero and Pavon and, in the context of the scalar-valued covariance extension problem, by Enqvist and Karlsson. The aim is to determine the power spectrum that is consistent with given moments and minimizes the relative entropy between the probability law of the underlying Gaussian stochastic process to that of a prior. The approach is analogous to the framework of earlier work by Byrnes, Georgiou and Lindquist and can also be viewed as a generalization of the classical work by Burg and Jaynes on the maximum entropy method. In the present paper we present a new fast algorithm in the general case (i.e., for general Gaussian priors) and show that for priors with a specific structure the solution can be given in closed form.

Cited in

(5)

• The loudest event statistic: general formulation, properties and applications
• Stealth identification strategy for closed loop system structure
• Discrete power distributions and inference using likelihood
• A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem
• Line spectral analysis using the G-filter: an atomic norm minimization approach

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