Distances between time-series and their autocorrelation statistics

Tryphon T. Georgiou

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

We begin with an interpretation of the L 1-distance between two power spectral densities and then, following an analogous rationale, we develop a natural metric for quantifying distance between respective covariance matrices.

Original languageEnglish (US)
Title of host publicationModeling, Estimation and Control
Subtitle of host publicationFestschrift in Honor of Giorgio Picci on the Occasion of his sixty-fifth Birthday
EditorsAlessandro Chiuso, Stefano Pinzoni, Augusto Ferrante
Pages113-122
Number of pages10
DOIs
StatePublished - Oct 31 2007

Publication series

NameLecture Notes in Control and Information Sciences
Volume364
ISSN (Print)0170-8643

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