Multivariate Spectral Estimation based on the concept of Optimal Prediction

Mattia Zorzi

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arXiv · 1402.0069

Multivariate Spectral Estimation based on the concept of Optimal Prediction

Mattia Zorzi

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Abstract

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.

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Mattia Zorzi. 2014-02-01. Multivariate Spectral Estimation based on the concept of Optimal Prediction. https://arxiv.org/abs/1402.0069

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