- Maximum entropy spectral estimation
The maximum entropy method applied to spectral density estimation. The overall idea is that the maximum entropy rate stochastic process that satisfies the given constant autocorrelation and variance constraints, is a linear Gauss-Markov process with i.i.d. zero-mean, Gaussian input.
- Rxx(k) = αk
for arbitrary constants αk is the P-th order, linear Markov chain of the form:
where the yi are zero mean, i.i.d. and normally-distributed of finite variance σ2.
Given the ak, the square of the absolute value of the transfer function of the linear Markov chain model can be evaluated at any required frequency in order to find the power spectrum of xi.
- Cover, T. and Thomas, J. (1991) Elements of Information Theory, John Wiley and Sons, Inc.
- kSpectra Toolkit for Mac OS X from SpectraWorks.
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