Alternative interpretation of maximum entropy spectral analysis (Corresp.)
A. van den Bos
Abstract
A. van den Bos
Abstract
Maximum entropy spectral analysis is a method for the estimation of power spectra with a higher resolution than can be obtained with conventional techniques. This is achieved by extrapolation of the autocorrelation function in such a way that the entropy of the corresponding probability density function is maximized in each step of the extrapolation. This correspondence also gives a simple interpretation of the method without entropy considerations.
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Maximum entropy spectral analysis is a method for the estimation of power spectra with a higher resolution than can be obtained with conventional techniques. This is achieved by extrapolation of the autocorrelation function in such a way that the entropy of the corresponding probability density function is maximized in each step of the extrapolation. This correspondence also gives a simple interpretation of the method without entropy considerations.
Key concepts: Maximum entropy spectral estimation, Extrapolation, Principle of maximum entropy, Autocorrelation, Maximum entropy probability distribution, Entropy (arrow of time), Mathematics, Statistical physics