Generalization of maximum entropy spectrum extension method

Research output: Contribution to journalConference article

Abstract

Given (n + 1) consecutive autocorrelations of a stationary discrete-time stochastic process, one interesting question is how to extend this finite sequence so that the power spectral density associated with the resulting infinite sequence of correlations is nonnegative everywhere. It is well known that when the Hermitian Toeplitz matrix generated from the given correlations is positive-definite the problem has an infinite number of solutions and the particular solution that maximizes entropy results in a stable all-pole model of order n. Since maximization of entropy is equivalent to maximization of the minimum mean square error associated with one-step predictors, the problem of obtaining admissible extensions that maximize the minimum mean square error associated with k-step (k ≤ n) predictors, which are compatible with the given correlations, is studied. It is shown that the resulting spectrum corresponds to that of a stable ARMA (n, k-1) process. The details of this particular extension method are worked out for a two-step predictor.

Original languageEnglish (US)
Pages (from-to)2619-2622
Number of pages4
JournalICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume5
StatePublished - 1990
Event1990 International Conference on Acoustics, Speech, and Signal Processing: Speech Processing 2, VLSI, Audio and Electroacoustics Part 2 (of 5) - Albuquerque, New Mexico, USA
Duration: Apr 3 1990Apr 6 1990

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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