Distances between time-series and their autocorrelation statistics

Tryphon T. Georgiou

doi:10.1007/978-3-540-73570-0_10

Distances between time-series and their autocorrelation statistics

Tryphon T. Georgiou

Electrical and Computer Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

3 Scopus citations

Abstract

We begin with an interpretation of the L ₁-distance between two power spectral densities and then, following an analogous rationale, we develop a natural metric for quantifying distance between respective covariance matrices.

Original language	English (US)
Title of host publication	Modeling, Estimation and Control
Subtitle of host publication	Festschrift in Honor of Giorgio Picci on the Occasion of his sixty-fifth Birthday
Editors	Alessandro Chiuso, Stefano Pinzoni, Augusto Ferrante
Pages	113-122
Number of pages	10
DOIs	https://doi.org/10.1007/978-3-540-73570-0_10
State	Published - 2007

Publication series

Name	Lecture Notes in Control and Information Sciences
Volume	364
ISSN (Print)	0170-8643

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Copyright 2011 Elsevier B.V., All rights reserved.

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Georgiou, T. T. (2007). Distances between time-series and their autocorrelation statistics. In A. Chiuso, S. Pinzoni, & A. Ferrante (Eds.), Modeling, Estimation and Control: Festschrift in Honor of Giorgio Picci on the Occasion of his sixty-fifth Birthday (pp. 113-122). (Lecture Notes in Control and Information Sciences; Vol. 364). https://doi.org/10.1007/978-3-540-73570-0_10

Distances between time-series and their autocorrelation statistics. / Georgiou, Tryphon T.
Modeling, Estimation and Control: Festschrift in Honor of Giorgio Picci on the Occasion of his sixty-fifth Birthday. ed. / Alessandro Chiuso; Stefano Pinzoni; Augusto Ferrante. 2007. p. 113-122 (Lecture Notes in Control and Information Sciences; Vol. 364).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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Distances between time-series and their autocorrelation statistics

Abstract

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