Title :
On non-negative definiteness of estimated moving average autocovariance sequences
Author :
Moses, Randolph L. ; Liu, Duixian
Author_Institution :
Dept. of Electr. Eng., Ohio State Univ., Columbus, OH, USA
Abstract :
The authors consider the following problem: given a normalized (finite-duration) covariance sequence which is not nonnegative definite (NND), find the closest NND sequence to it. Here, closeness is measured by the Euclidean distance in coefficient space. They provide a solution to this problem by considering a set of constrained minimization problems. The solution to the constrained minimization problem does not in general give NND solutions. Properties of NND solutions are established and used to find the minimizing NND sequence
Keywords :
minimisation; parameter estimation; spectral analysis; Euclidean distance in coefficient space; closeness measure; constrained minimization problems; moving average autocovariance sequences; nonnegative definite; spectral estimation; Autoregressive processes; Density functional theory; Equations; Euclidean distance; Extraterrestrial measurements; Fourier transforms; Frequency estimation; Parametric statistics; State estimation; Time measurement;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on
Conference_Location :
New York, NY
DOI :
10.1109/ICASSP.1988.197108
