\(M^2\)-spectral estimation: a relative entropy approach
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Publication:2663894
DOI10.1016/j.automatica.2020.109404zbMath1461.94066arXiv1908.09944OpenAlexW3116511422MaRDI QIDQ2663894
Publication date: 20 April 2021
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.09944
spectral estimationtrigonometric moment problemItakura-Saito distancemultidimensional matrix covariance extension
Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Measures of information, entropy (94A17) Trigonometric moment problems in one variable harmonic analysis (42A70)
Related Items (4)
A Well-Posed Multidimensional Rational Covariance and Generalized Cepstral Extension Problem ⋮ Line spectrum representation for vector processes with application to frequency estimation ⋮ M$^2$ Spectral Estimation: A Flexible Approach Ensuring Rational Solutions ⋮ Mean-square consistency of the \(f\)-truncated \(M^2\)-periodogram
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