EVALUATION OF MAXIMUM ENTROPY METHOD OF SPECTRUM ESTIMATION
The parametric models autoregressive (AR)/AR-moving average (MA)/MA are sometimes not capable of finding out the power spectral densities of random sequences. Under such circumstances, the non-parametric methods outperform the parametric ones because of the sensitivity of the latter to model specifications. The maximum entropy method (MEM) is regarded as the non-parametric method of spectrum estimation; it suggests one possible way of extrapolating the autocorrelation sequence so that a more accurate estimate of the spectrum can be obtained with better resolution. This paper investigates the work of realizing MEM method and evaluating its performance with minimum variance method.
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