Minimum Cross Entropy Method with the Constraints of Uncertain Autocorrelations

Abstract

In this paper, we present a minimum cross entropy spectrum estimation method with the constraints of uncertain autocorrelations for the continuous spectrum (C-MCEMU) [1]. Then, we derive consistency of the proposed spectral method and a minimum cross entropy method for the continuous spectrum with the constraints of known autocorrelations (C-MCEM). That is, when σ² ＝ 0 in C-MCEMU, we derive that the proposed spectral estimation method corresponds to C-MCEM.