NDLI: Power spectrum estimation by means of relative-entropy minimization with uncertain constraints

Content Provider	IEEE Xplore Digital Library
Author	Johnson, R. Shore, J.
Copyright Year	1984
Description	Author affiliation: Naval Research Laboratory, Washington, D.C. (Johnson, R.)
Abstract	This paper presents a new multisignal spectrum-analysis method based on the relative-entropy principle ("principle of minimum cross entropy"). The method simultaneously estimates a number of power spectra given (1) an initial ("prior") estimate of each, (2) imprecise values of the autocorrelation function of their sum, and (3) estimates of the error in measurement of the autocorrelation values. One application is to the separate estimation of the spectra of a signal and independent additive noise, based on imprecise measurements of the autocorrelations of the signal plus noise. A derivation is sketched, beginning with a discussion of relative-entropy minimization subject to quadratic constraints that require certain linear constraints to hold approximately, to within a specified error bound. The new method is an extension of multisignal relative-entropy spectrum analysis (with exact autocorrelations). The two methods are compared, and connections with previous related work are indicated. Mathematical properties of the new method are discussed, and an illustrative numerical example is presented.
Starting Page	558
Ending Page	561
File Size	133991
Page Count	4
File Format	PDF
DOI	10.1109/ICASSP.1984.1172316
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1984-03-19
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Spectral analysis Entropy Autocorrelation Additive noise Power measurement Particle measurements Information technology Laboratories Noise measurement Uncertainty
Content Type	Text
Resource Type	Article

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