A Generalized Kullback-Leibler Approximation of Spectral Density with Tangential Second-order Statistics
Yohei Kuroiwa · KTH Publication Database DiVA (KTH Royal Institute of Technology) · 2010
In this paper, we study an approximation of spectral density in terms of the generalized Kullback-Leibler distance minimization. For a given spectral density, we seek a spectral density by minimizing the generalized Kullback-Leibler distance subject to a constraint on the tangential second-order statistics.