Signal analysis, moment problems & uncertainty measures

Johan Karlsson, Tryphon T. Georgiou

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

6 Scopus citations

Abstract

Modern spectral estimation techniques often rely on second order statistics of a time-series to determine a power spectrum consistent with data. Such statistics provide moment constraints on the power spectrum. In this paper we study possible distance functions between spectra which permit a reasonable quantitative description of the uncertainty in moment problems. Typically, there is an infinite family of spectra consistent with given moments. A distance function between power spectra should permit estimating the diameter of the uncertainty family, a diameter which shrinks as new data accumulates. Abstract properties of such distance functions are discussed and certain specific options are put forth. These distance functions permit alternative descriptions of uncertainty in moment problems. While the paper focuses on the role of such measures in signal analysis, moment problems are ubiquitous in science and engineering, and the conclusions drawn herein are relevant over a wider spectrum of problems.

Original languageEnglish (US)
Title of host publicationProceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Pages5710-5715
Number of pages6
DOIs
StatePublished - Dec 1 2005
Event44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05 - Seville, Spain
Duration: Dec 12 2005Dec 15 2005

Publication series

NameProceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
Volume2005

Other

Other44th IEEE Conference on Decision and Control, and the European Control Conference, CDC-ECC '05
CountrySpain
CitySeville
Period12/12/0512/15/05

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