4,560 research outputs found
Likelihood Analysis of Power Spectra and Generalized Moment Problems
We develop an approach to spectral estimation that has been advocated by
Ferrante, Masiero and Pavon and, in the context of the scalar-valued covariance
extension problem, by Enqvist and Karlsson. The aim is to determine the power
spectrum that is consistent with given moments and minimizes the relative
entropy between the probability law of the underlying Gaussian stochastic
process to that of a prior. The approach is analogous to the framework of
earlier work by Byrnes, Georgiou and Lindquist and can also be viewed as a
generalization of the classical work by Burg and Jaynes on the maximum entropy
method. In the present paper we present a new fast algorithm in the general
case (i.e., for general Gaussian priors) and show that for priors with a
specific structure the solution can be given in closed form.Comment: 17 pages, 4 figure
On the existence of a solution to a spectral estimation problem \emph{\`a la} Byrnes-Georgiou-Lindquist
A parametric spectral estimation problem in the style of Byrnes, Georgiou,
and Lindquist was posed in \cite{FPZ-10}, but the existence of a solution was
only proved in a special case. Based on their results, we show that a solution
indeed exists given an arbitrary matrix-valued prior density. The main tool in
our proof is the topological degree theory.Comment: 6 pages of two-column draft, accepted for publication in IEEE-TA
Calibrating spectral estimation for the LISA Technology Package with multichannel synthetic noise generation
The scientific objectives of the Lisa Technology Package (LTP) experiment, on
board of the LISA Pathfinder mission, demand for an accurate calibration and
validation of the data analysis tools in advance of the mission launch. The
levels of confidence required on the mission outcomes can be reached only with
an intense activity on synthetically generated data. A flexible procedure
allowing the generation of cross-correlated stationary noise time series was
set-up. Multi-channel time series with the desired cross correlation behavior
can be generated once a model for a multichannel cross-spectral matrix is
provided. The core of the procedure is the synthesis of a noise coloring
multichannel filter through a frequency-by-frequency eigendecomposition of the
model cross-spectral matrix and a Z-domain fit. The common problem of initial
transients in noise time series is solved with a proper initialization of the
filter recursive equations. The noise generator performances were tested in a
two dimensional case study of the LTP dynamics along the two principal channels
of the sensing interferometer.Comment: Accepted for publication in Physical Review D (http://prd.aps.org/
Multitaper estimation on arbitrary domains
Multitaper estimators have enjoyed significant success in estimating spectral
densities from finite samples using as tapers Slepian functions defined on the
acquisition domain. Unfortunately, the numerical calculation of these Slepian
tapers is only tractable for certain symmetric domains, such as rectangles or
disks. In addition, no performance bounds are currently available for the mean
squared error of the spectral density estimate. This situation is inadequate
for applications such as cryo-electron microscopy, where noise models must be
estimated from irregular domains with small sample sizes. We show that the
multitaper estimator only depends on the linear space spanned by the tapers. As
a result, Slepian tapers may be replaced by proxy tapers spanning the same
subspace (validating the common practice of using partially converged solutions
to the Slepian eigenproblem as tapers). These proxies may consequently be
calculated using standard numerical algorithms for block diagonalization. We
also prove a set of performance bounds for multitaper estimators on arbitrary
domains. The method is demonstrated on synthetic and experimental datasets from
cryo-electron microscopy, where it reduces mean squared error by a factor of
two or more compared to traditional methods.Comment: 28 pages, 11 figure
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