TY - GEN
T1 - A new metric for multivariate spectral estimation leading to lowest complexity spectra
AU - Ferrante, Augusto
AU - Masiero, Chiara
AU - Pavon, Michele
PY - 2011
Y1 - 2011
N2 - A new multivariate spectral estimation technique is proposed. It is based on a constrained spectrum approximation problem, where the distance between spectra is derived from the relative entropy rate between stationary Gaussian processes. This approach may be viewed as an extension of the high-resolution estimator called THREE introduced by Byrnes, Georgiou and Lindquist in 2000. The corresponding solution features a complexity upper bound which is equal to the one featured by THREE in the scalar case thereby improving on the one so far available in the multichannel framework. The solution is computed by means of a globally convergent, matricial Newton-type algorithm. Comparative simulation indicates that this new technique outperforms PEM and N4SID in the case of short data records.
AB - A new multivariate spectral estimation technique is proposed. It is based on a constrained spectrum approximation problem, where the distance between spectra is derived from the relative entropy rate between stationary Gaussian processes. This approach may be viewed as an extension of the high-resolution estimator called THREE introduced by Byrnes, Georgiou and Lindquist in 2000. The corresponding solution features a complexity upper bound which is equal to the one featured by THREE in the scalar case thereby improving on the one so far available in the multichannel framework. The solution is computed by means of a globally convergent, matricial Newton-type algorithm. Comparative simulation indicates that this new technique outperforms PEM and N4SID in the case of short data records.
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U2 - 10.1109/CDC.2011.6160890
DO - 10.1109/CDC.2011.6160890
M3 - Conference contribution
AN - SCOPUS:84860653773
SN - 9781612848006
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 1479
EP - 1484
BT - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2011 50th IEEE Conference on Decision and Control and European Control Conference, CDC-ECC 2011
Y2 - 12 December 2011 through 15 December 2011
ER -