Multivariate Spectral Estimation Based on the Concept of Optimal Prediction
Transactions on Automatic Control(2015)
摘要
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.
更多查看译文
关键词
Approximation methods,Estimation,Indexes,Optimization,Technological innovation,Prediction theory,Upper bound
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络