REALIZATION OF THE METHOD OF MAXIMUM-ENTROPY IN SPECTRAL ESTIMATION BY INVERSING AN INITIAL DATA MATRIX

In the article a method of spectral power density (SPD) estimation of stationary processes based on the method of maximum entropy is suggested. As initial information a square matrix is used lines of which are linearly independent sampling of data counts. The expression of SPD is suggested by a reciprocal of a mean periodogram of columns of the inverse initial data matrix. Results of numerical tests and comparative analysis with one of the known methods of spectral estimation are presented.