Further Results on the Convergence of the Pavon–Ferrante Algorithm for Spectral Estimation
Further Results on the Convergence of the Pavon–Ferrante Algorithm for Spectral Estimation
In this paper, we provide a detailed analysis of the global convergence properties of an extensively studied and extremely effective fixed-point algorithm for the Kullback–Leibler approximation of spectral densities, proposed by Pavon and Ferrante in their paper “On the Georgiou–Lindquist approach to constrained Kullback–Leibler approximation of spectral densities.” Our main …