Uncertainty bounds for spectral estimation

Johan Karlsson, Tryphon T. Georgiou

Research output: Contribution to journalArticle

13 Scopus citations

Abstract

The purpose of this paper is to study metrics suitable for assessing uncertainty of power spectra when these are based on finite second-order statistics. The family of power spectra which is consistent with a given range of values for the estimated statistics represents the uncertainty set about the 'true' power spectrum. Our aim is to quantify the size of this uncertainty set using suitable notions of distance, and in particular, to compute the diameter of the set since this represents an upper bound on the distance between any choice of a nominal element in the set and the 'true' power spectrum. Since the uncertainty set may contain power spectra with lines and discontinuities, it is natural to quantify distances in the weak topology-the topology defined by continuity of moments. We provide examples of such weakly continuous metrics and focus on particular metrics for which we can explicitly quantify spectral uncertainty. We then consider certain high resolution techniques which utilize filter-banks for preprocessing, and compute worst case a priori uncertainty bounds solely on the basis of the filter dynamics. This allows the a priori tuning of the filter-banks for improved resolution over selected frequency bands.

Original languageEnglish (US)
Article number6475976
Pages (from-to)1659-1673
Number of pages15
JournalIEEE Transactions on Automatic Control
Volume58
Issue number7
DOIs
StatePublished - Jul 15 2013

Keywords

  • Geometry of spectral measures
  • robust spectral estimation
  • spectral distances
  • tunable high resolution estimation (THREE) filter design
  • uncertainty set

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