Metrics for multivariate power spectra

Lipeng Ning, Xianhua Jiang, Tryphon T Georgiou

Research output: Contribution to journalConference articlepeer-review

1 Scopus citations

Abstract

This paper builds on earlier work in [1] on metrics for power spectral densities (PSD) of multivariable time-series. We present an approach to quantify dissimilarities aimed at optimal prediction and smoothing. Divergence measures are constructed based on the degradation of prediction-error and smoothing-error variances. These induce Riemannian metrics which generalize earlier results for scalar PSD's.

Original languageEnglish (US)
Article number6426046
Pages (from-to)4727-4732
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
DOIs
StatePublished - Dec 1 2012
Event51st IEEE Conference on Decision and Control, CDC 2012 - Maui, HI, United States
Duration: Dec 10 2012Dec 13 2012

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