Spectrum estimation using maximum entropy and multiresolution considerations

Abstract

Given a sample autocovariance sequence of finite length for some observed random process, the spectrum estimation problem involves the extension of this sequence for the required Fourier transformation. The maximum entropy approach which is based on the optimal use of information contents, leads to a dual sequence of reflection coefficients with reciprocal spectrum of the process. The estimation of the maximum entropy spectrum implies results identical to those using autoregressive modeling in one dimension under appropriate white noise assumptions. In cases of a non-white noise component, the approach is generalized to an autoregressive-moving-average model. Recent developments in multiresolution analysis with spectral domain decompositions also offer possibilities of subband spectrum estimation for specific applications. Using a simulated data sequence with two close frequencies, the estimated spectrum from a two-level decomposition with autoregressive modeling shows better resolution than with conventional processing. Geodetic and geophysical applications are briefly indicated.