NDLI: Optimal nonnegative definite approximations of estimated moving average covariance sequences

Content Provider	IEEE Xplore Digital Library
Author	Moses, R.L. Liu, D.
Copyright Year	1991
Abstract	The problem of finding the closest nonnegative definite moving average covariance sequence to a given estimate which may not be nonnegative definite is considered. An algorithm is developed which is based on a set of constrained minimization problems, each parameterized by the zero frequencies of the spectral density function corresponding to the optimal solution. The algorithm entails first solving a simple minimization problem with linear constraints whose closed-form solution is given by a projection onto a subspace. These solutions lie either outside the set of nonnegative definite sequences, or on its boundary; if the solution lies on the boundary, it is the optimal solution. The problem is considered directly in the space of covariance sequence elements. As a result, the nonlinear maximization step is performed on sets of low dimension. By considering the minimization problem in this space, it is possible to characterize some of the geometrical properties of the optimal solution in terms of the locations of its zero frequencies.<>
Sponsorship	IEEE Signal Processing Society
Starting Page	2007
Ending Page	2015
Page Count	9
File Size	685975
File Format	PDF
ISSN	1053587X
Volume Number	39
Issue Number	9
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1991-09-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Time measurement Weight measurement Euclidean distance Frequency Parametric statistics Autoregressive processes Parameter estimation Extraterrestrial measurements Sufficient conditions Ear
Content Type	Text
Resource Type	Article
Subject	Signal Processing Electrical and Electronic Engineering

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