Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Covariance interpolation and geometry of power spectral densities
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.
2015 (English)In: 2009 European Control Conference, ECC 2009, 2015, 4505-4510 p.Conference paper, Published paper (Refereed)
Abstract [en]

When methods of moments are used for identification of power spectral densities, a model is matched to estimated second order statistics such as, e.g., covariance estimates. There is an infinite family of power spectra consistent with such an estimate and in applications, such as identification, we want to single out the most representative spectrum. Here, we choose a prior spectral density to represent a priori information, and the spectrum closest to it in a given quasi-distance is determined. Depending on the selected quasi-distance, the geometry of the space of power spectral densities varies, and the structure of the minimizing spectral density changes with it. Recently, the Kullback-Leibler divergence, the Itakura-Saito divergence and Hellinger distances has been shown to determine power spectral densities of rational form and with tractable properties. Here, starting instead with the structure of the power spectral density, different (quasi-)distances and geometries for power spectral densities are derived.

Place, publisher, year, edition, pages
2015. 4505-4510 p.
Keyword [en]
Geometry, Method of moments, Power spectral density, Hellinger distance, Itakura-Saito divergences, Kullback Leibler divergence, Methods of moments, Power-spectra, Priori information, Second order statistics, Spectral density
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-167391Scopus ID: 2-s2.0-84955201844ISBN: 9783952417393 (print)OAI: oai:DiVA.org:kth-167391DiVA: diva2:814487
Conference
2009 10th European Control Conference, ECC 2009, 23 August 2009 through 26 August 2009
Note

QC 20150527

Available from: 2015-05-27 Created: 2015-05-22 Last updated: 2016-06-14Bibliographically approved

Open Access in DiVA

No full text

Scopus

Search in DiVA

By author/editor
Enqvist, Per
By organisation
Optimization and Systems Theory
Mathematics

Search outside of DiVA

GoogleGoogle Scholar

isbn
urn-nbn

Altmetric score

isbn
urn-nbn
Total: 36 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf