Evaluation of Maximum Entropy Method of Spectrum Estimation

Abstract

The parametric models AR/MA/ARMA are sometimes
not capable in 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 spectral 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 and evaluating it’s performance with Minimum
Variance (MV) method and classical methods.