A new kernel-based approach for spectral estimation

Mattia Zorzi

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arXiv · 2004.14184

A new kernel-based approach for spectral estimation

Mattia Zorzi

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Abstract

The paper addresses the problem to estimate the power spectral density of an ARMA zero mean Gaussian process. We propose a kernel based maximum entropy spectral estimator. The latter searches the optimal spectrum over a class of high order autoregressive models while the penalty term induced by the kernel matrix promotes regularity and exponential decay to zero of the impulse response of the corresponding one-step ahead predictor. Moreover, the proposed method also provides a minimum phase spectral factor of the process. Numerical experiments showed the effectiveness of the proposed method.

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Mattia Zorzi. 2020-04-29. A new kernel-based approach for spectral estimation. https://arxiv.org/abs/2004.14184

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