Kullback-Leibler approximation of spectral density functions

  title={Kullback-Leibler approximation of spectral density functions},
  author={Tryphon T. Georgiou and Anders Lindquist},
  journal={IEEE Trans. Information Theory},
We introduce a Kullback–Leibler-type distance between spectral density functions of stationary stochastic processes and solve the problem of optimal approximation of a given spectral density by one that is consistent with prescribed second-order statistics. In general, such statistics are expressed as the state covariance of a linear filter driven by a stochastic process whose spectral density is sought. In this context, we show i) that there is a unique spectral density which minimizes this… CONTINUE READING
Highly Influential
This paper has highly influenced 18 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 138 citations. REVIEW CITATIONS


Publications citing this paper.
Showing 1-10 of 98 extracted citations

139 Citations

Citations per Year
Semantic Scholar estimates that this publication has 139 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 34 references

A generalized entropy criterion for nevanlinna-pick interpolation: A convex optimization approach to certain problems in systems and control

  • C. Byrnes, T. T. Georgiou, A. Lindquist
  • IEEE Trans. Automat. Contr., vol. 45, pp. 822–839…
  • 2001
Highly Influential
7 Excerpts

Spectral estimation by selective harmonic amplification

  • IEEE Trans. Automat. Contr., vol. 46, pp. 29–42…
  • 2001
Highly Influential
4 Excerpts

Statistical analysis of state covariance subspace estimation methods

  • A. N. Amini, T. T. Georgiou
  • Proc. 41st IEEE Conf. Decision and Control, Las…
  • 2002
1 Excerpt

The structure of state covariances and its relation to the power spectrum of the input

  • IEEE Trans. Automat. Contr., vol. 47, pp. 1056…
  • 2002
2 Excerpts

Similar Papers

Loading similar papers…