Maximum entropy spectral estimation

The maximum entropy method applied to spectral density estimation. The overall idea is that the maximum entropy rate stochastic process that satisfies the given constant autocorrelation and variance constraints, is a linear Gauss-Markov process with i.i.d. zero-mean, Gaussian input.

Method description

The maximum entropy rate, strongly stationary stochastic process $x_{i}$ with autocorrelation sequence $R_{xx}(k),k=0,1,\dots P$ satisfying the constraints:

$R_{xx}(k)=\alpha _{k}$

for arbitrary constants $\alpha _{k}$ is the $P$-th order, linear Markov chain of the form:

$x_{i}=-\sum _{k=1}^{P}a_{k}x_{i-k}+y_{i}$

where the $y_{i}$ are zero mean, i.i.d. and normally-distributed of finite variance $\sigma ^{2}$.

Spectral estimation

Given the $a_{k}$, the square of the absolute value of the transfer function of the linear Markov chain model can be evaluated at any required frequency in order to find the power spectrum of $x_{i}$.

References

• Cover, T. and Thomas, J. (1991) Elements of Information Theory, John Wiley and Sons, Inc.

External links

• kSpectra Toolkit for Mac OS X from SpectraWorks.

Maximum entropy spectral analysis (MaxEnt spectral analysis) is a method of improving spectral quality based on the principle of maximum entropy. MaxEnt spectral analysis is based on choosing the spectrum which corresponds to the most random or the most unpredictable time series whose autocorrelation function agrees with the known values. This assumption, which corresponds to the concept of maximum entropy as used in both statistical mechanics and information theory, is maximally non-committal with regard to the unknown values of the autocorrelation function of the time series. It is simply the application of maximum entropy modeling to any type of spectrum and is used in all fields where data is presented in spectral form. The usefulness of the technique varies based on the source of the spectral data since it is dependent on the amount of assumed knowledge about the spectrum that can be applied to the model.

In maximum entropy modeling probability distributions are created on the basis of that which is known, and leads to a type of statistical inference about the missing information which is called the maximum entropy estimate. For example in spectral analysis the expected peak shape is often known, but in a noisy spectrum the center of the peak may not be clear. In such a case inputting the known information allows the maximum entropy model to derive a better estimate of the center of the peak, thus improving spectral accuracy.

See also

• principle of maximum entropy

• S. Lawrence Marple, Jr. (1987). Digital spectral analysis with applications. Prentice-Hall. ISBN 0132141493.