Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Time and spectral domain relative entropy: A new approach to
  multivariate spectral estimation   The concept of spectral relative entropy rate is introduced for jointly
stationary Gaussian processes. Using classical information-theoretic results,
we establish a remarkable connection between time and spectral domain relative
entropy rates. This naturally leads to a new spectral estimation technique
where a multivariate version of the Itakura-Saito distance is employed}. It may
be viewed as an extension of the approach, called THREE, introduced by Byrnes,
Georgiou and Lindquist in 2000 which, in turn, followed in the footsteps of the
Burg-Jaynes Maximum Entropy Method. Spectral estimation is here recast in the
form of a constrained spectrum approximation problem where the distance is
equal to the processes relative entropy rate. The corresponding solution
entails a complexity upper bound which improves on the one so far available in
the multichannel framework. Indeed, it is equal to the one featured by THREE in
the scalar case. The solution is computed via a globally convergent matricial
Newton-type algorithm. Simulations suggest the effectiveness of the new
technique in tackling multivariate spectral estimation tasks, especially in the
case of short data records.

25
The categories of this paper are: patt-sol
26
The categories of this paper are: bayes-an
19
The categories of this paper are: eess
31
The categories of this paper are: ao-sci
23
The categories of this paper are: solv-int
35
The categories of this paper are: mtrl-th
11
The categories of this paper are: hep-lat
34
The categories of this paper are: chem-ph
3
The categories of this paper are: physics
28
The categories of this paper are: alg-geom
16
The categories of this paper are: stat
33
The categories of this paper are: plasm-ph
13
The categories of this paper are: quant-ph
15
The categories of this paper are: nucl-ex
32
The categories of this paper are: atom-ph
30
The categories of this paper are: q-alg