An interpretation of the dual problem of the THREE-like approaches

• Mattia Zorzi ^[1]
  1. [1] University of Padua

     University of Padua

     Padova, Italia

     
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Vol. 62, 2015, págs. 87-92
• Idioma: inglés
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• Resumen

  • Spectral estimation can be performed using the so called THREE-like approach. Such method leads to a convex optimization problem whose solution is characterized through its dual problem. In this paper, we show that the dual problem can be seen as a new parametric spectral estimation problem. This interpretation implies that the THREE-like solution is optimal in terms of closeness to the correlogram over a certain parametric class of spectral densities describing ARMA models, enriching in this way its meaningfulness.