Maximum entropy spectral estimation
The maximum entropy method applied to spectral density estimation. The overall idea is that the maximum entropy rate stochastic process that satisfies the given constant autocorrelation and variance constraints, is a linear Gauss-Markov process with i.i.d. zero-mean, Gaussian input.
for arbitrary constants is the -th order, linear Markov chain of the form:
where the are zero mean, i.i.d. and normally-distributed of finite variance .
- Cover, T. and Thomas, J. (1991) Elements of Information Theory, John Wiley and Sons, Inc.
- kSpectra Toolkit for Mac OS X from SpectraWorks.