Distances and Riemannian metrics for multivariate spectral densities

Details Distances and Riemannian metrics for multivariate spectral densities Distances and Riemannian metrics for multivariate spectral densities

2011-07-07

arxiv.org/abs/1107.1345v1

Mathematics

Optimization and Control

21 pages, 8 figures

Scientific paper

We first introduce a class of divergence measures between power spectral density matrices. These are derived by comparing the suitability of different models in the context of optimal prediction. Distances between "infinitesimally close" power spectra are quadratic, and hence, they induce a differential-geometric structure. We study the corresponding Riemannian metrics and, for a particular case, provide explicit formulae for the corresponding geodesics and geodesic distances. The close connection between the geometry of power spectra and the geometry of the Fisher-Rao metric is noted.

Affiliated with

Also associated with

No associations

Rating

Distances and Riemannian metrics for multivariate spectral densities does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Distances and Riemannian metrics for multivariate spectral densities, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Distances and Riemannian metrics for multivariate spectral densities will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-416699