25 citations · 42 across the 4 of their papers we have counts for
6 papers
Distances between time-series and their autocorrelation statistics
Tryphon T. Georgiou
We begin with an interpretation of the L1-distance between two power spectral densities and then, following an analogous rationale, we develop a natural metric for quantifying dist…
An intrinsic metric for power spectral density functions
Tryphon T. Georgiou
We present an intrinsic metric that quantifies distances between power spectral density functions. The metric was derived by the author in a recent arXiv-report (math.OC/0607026) a…
Distances between power spectral densities
Tryphon T. Georgiou
We present several natural notions of distance between spectral density functions of (discrete-time) random processes. They are motivated by certain filtering problems. First we qu…
The maximum entropy ansatz in the absence of a time arrow: fractional pole models
Tryphon T. Georgiou
The maximum entropy ansatz, as it is often invoked in the context of time-series analysis, suggests the selection of a power spectrum which is consistent with autocorrelation data…
The Caratheodory-Fejer-Pisarenko decomposition and its multivariable counterpart
Tryphon T. Georgiou
When a covariance matrix with a Toeplitz structure is written as the sum of a singular one and a positive scalar multiple of the identity, the singular summand corresponds to the c…
Relative entropy and the multi-variable multi-dimensional moment problem
Tryphon T. Georgiou
Entropy-like functionals on operator algebras have been studied since the pioneering work of von Neumann, Umegaki, Lindblad, and Lieb. The most well-known are the von Neumann entro…