A note on maximum entropy spectrum estimation

被引：0

作者：

Shi, D ^{[1
]}

Song, JJ ^{[1
]}

Wang, C ^{[1
]}

机构：

[1] Indiana Univ SE, Dept Math, New Albany, IN 47150 USA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2000年 / 29卷 / 5-6期

关键词：

spectral analysis; ARMA; AR and MA series;

D O I：

10.1080/03610920008832546

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article studies the maximum entropy spectrum estimation. After a brief discussion on how to select the appropriate constraints and the objective functions, we decide to choose the constraints containing only the first four sample moments and, consequently, to employ the second order spectral entropy as the objective function. The resulting (maximum entropy) spectral estimate is the power spectral density of an ARMA sequence. Examples for comparing our proposal with the traditional maximum entropy spectral estimate follow at the end.

引用

页码：1311 / 1325

页数：15

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