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- Title
The Principle of the Information-Divergence Minimum in the Problem of Spectral Analysis of the Random Time Series Under the Condition of Small Observation Samples.
- Authors
Savchenko, V.
- Abstract
We consider the issue of small observation samples in the problem of spectral analysis of the random time series. It is proposed to solve the considered problem using the information-theoretic approach and a new algorithm based on the principle of minimum divergence of the cognominal spectral estimates yielded by the results of several independent observations in the Kullback-Leibler information metric. An example of a practical realization of the algorithm is considered and its asymptotic properties are studied.
- Subjects
INFORMATION theory; DIVERGENCE theorem; SPECTRAL theory; TIME series analysis; ALGORITHMS; ESTIMATION theory
- Publication
Radiophysics & Quantum Electronics, 2015, Vol 58, Issue 5, p373
- ISSN
0033-8443
- Publication type
Article
- DOI
10.1007/s11141-015-9611-4