Kullback-Leibler and Rényi divergence rate for Gaussian stationary ARMA processes comparison

• Published in: Digital signal processing Vol. 116; p. 103089
• Main Authors: Grivel, Eric, Diversi, Roberto, Merchan, Fernando
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.09.2021; Elsevier
• Subjects: ARMA process; Computer Science; Kullback-Leibler divergence; Process comparison; Rényi divergence; Signal and Image Processing; Rényi divergence; ARMA process; Kullback-Leibler divergence; Process comparison

In signal processing, ARMA processes are widely used to model short-memory processes. In various applications, comparing or classifying ARMA processes is required. In this paper, our purpose is to provide analytical expressions of the divergence rates of the Kullback-Leibler divergence, the Rényi di...