Further Results on the Convergence of the Pavon-Ferrante Algorithm for Spectral Estimation

Giacomo Baggio

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arXiv · 1612.03570

Further Results on the Convergence of the Pavon-Ferrante Algorithm for Spectral Estimation

Giacomo Baggio

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Abstract

In this paper, we provide a detailed analysis of the global convergence properties of an extensively studied and extremely effective fixed-point algorithm for the Kullback-Leibler approximation of spectral densities, proposed by Pavon and Ferrante in [Pavon and Ferrante, 2006]. Our main result states that the algorithm globally converges to one of its fixed points.

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Giacomo Baggio. 2016-12-12. Further Results on the Convergence of the Pavon-Ferrante Algorithm for Spectral Estimation. https://arxiv.org/abs/1612.03570

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