DocumentCode :
851627
Title :
ARMA models, prewhitening, and minimum cross entropy
Author :
Politis, Dimitris N.
Author_Institution :
Dept. of Stat., Purdue Univ., West Lafayette, IN, USA
Volume :
41
Issue :
2
fYear :
1993
fDate :
2/1/1993 12:00:00 AM
Firstpage :
781
Lastpage :
787
Abstract :
The problem of spectral estimation on the basis of observations from a finite stretch of a stationary time series is considered, in connection with knowledge of a prior estimate of the spectral density. A reasonable posterior spectral density estimate would be the density that is closest to the prior according to some measure of divergence, while at the same time being compatible with the data. The cross entropy has often been proposed to serve as such a measure of divergence. A correction of the original minimum-cross-entropy spectral analysis (MCESA) method of J.E. Shore (see IEEE Trans. Acoust. Speech Signal Process, vol.29, p.230-7, 1981) to traditional prewhitening techniques and to autoregressive moving average (ARMA) models is pointed out and a fast approximate solution of the minimum cross entropy problem is proposed. The solution is in a standard multiplicative form, that is, the posterior is equal to the prior multiplied by a correction factor
Keywords :
function approximation; parameter estimation; spectral analysis; time series; ARMA models; autoregressive moving average; divergence measure; fast approximate solution; finite stretch; minimum-cross-entropy spectral analysis; posterior spectral density estimate; prewhitening; prior spectral density estimate; spectral estimation; standard multiplicative form; stationary time series; Autoregressive processes; Density functional theory; Density measurement; Entropy; Fasteners; Gaussian processes; Signal processing; Signal processing algorithms; Spectral analysis; Speech processing; Time measurement;
fLanguage :
English
Journal_Title :
Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
1053-587X
Type :
jour
DOI :
10.1109/78.193217
Filename :
193217
Link To Document :
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