APPROXIMATION OF POWER SPECTRA BY PHASE MATCHING.

Abstract

We consider the problem of approximating high-order multivariable power spectra by lower-order power spectra using a phase-matching approach. The motivation for the approach is the identification of the Hankel operator associated with the 'phase function' as Akaike's canonical correlation operator. Thus the phase-matching approach can also be viewed as an algorithm for the approximate realization of a stochastic process by canonical variables, which is desirable for the implementation of an approximate Kalman filter of the power spectrum. Show more