Approximative Linear and Logarithmic Interpolation of Spectra
2009 (English)Report (Other academic)
Given output data of a stationary stochastic process estimates of covariance and cepstrum parameters can be obtained. These estimates can be used to determine ARMA models to approximately fit the data by matching the parameters exactly. However, the estimates of the parameters may contain large errors, especially if they are determined from short data sequences, and thus it makes sense to match the parameters in an approximate way. Here we consider a convex method for solving an approximate linear and logarithmic spectrum interpolation problem while maximizing the entropy and penalize the quadratic deviation from the nominal parameters.
Place, publisher, year, edition, pages
Stockholm: KTH Royal Institute of Technology , 2009. , 25 p.
TRITA-MAT. OS, ISSN 1401-2294 ; 09:02
IdentifiersURN: urn:nbn:se:kth:diva-39044OAI: oai:DiVA.org:kth-39044DiVA: diva2:439295
QC 201109072011-09-082011-09-072014-09-24Bibliographically approved