A general method of minimum cross-entropy spectral estimation

A new, general approach to estimating power spectra is presented, based on minimizing a cross-entropy functional involving spectral densities. Examples are worked out using this approach as well as Shore´s [5] minimum cross-entropy spectral analysis (MCESA) and Burg´s [7] maximum entropy spectral analysis (MESA). The results show that aside from its wider applicability, ease of implementation, and pedagogical advantage, the method performs better than MESA and equally well or better than MCESA.