Maximum entropy algorithm for spectral estimation problem with aipriori information

Abstract

The power density estimation problem with a priori information about spectrum is considered. The problem is reduced to a power density estimation problem with spectral gaps. The solution of the problem is studied in the context of the trigonometric moment problem with gaps. The necessary and sufficient conditions are established for the existence of solution and all solutions are described in indeterminate cases. A new definition of the entropy functional is given. The effective algorithm to construct maximum entropy solution is proposed. A number of explicit illustrations are presented.