An intrinsic metric for power spectral density functions

Details An intrinsic metric for power spectral density functions An intrinsic metric for power spectral density functions

2006-08-19

arxiv.org/abs/math/0608486v1

IEEE Signal Processing Letters, vol. 14(8), 561-563, August 2007.

Mathematics

Optimization and Control

7 pages

Scientific paper

10.1109/LSP.2006.891315

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) as the geodesic distance between spectral density functions with respect to a particular pseudo-Riemannian metric motivated by a quadratic prediction problem. We provide an independent verification of the metric inequality and discuss certain key properties of the induced topology.

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