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Communication Dans Un Congrès Année : 2022

Studying Three Families Of Divergences To Compare Wide-Sense Stationary Gaussian ARMA Processes

Résumé

In this paper, we aim at analyzing the differences between three families of divergences used to compare probability density functions of Gaussian random vectors storing k consecutive samples of wide-sense stationary ARMA processes. There may be various applications: signal classification, statistical change detection, etc. Among the families that are studied, we propose to look at the α-divergence, the β-divergence and the γ-divergence. We first provide the expression of the divergences in the Gaussian case and then express their divergence increments, i.e. the differences between the divergences computed for k + 1 and k consecutive samples. Finally, we analyze how these divergence increments evolve when k increases and tends to infinity.
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Dates et versions

hal-03539754 , version 1 (22-01-2022)

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Citer

Eric Grivel. Studying Three Families Of Divergences To Compare Wide-Sense Stationary Gaussian ARMA Processes. ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing, May 2022, Singapore, Singapore. ⟨10.1109/icassp43922.2022.9746175⟩. ⟨hal-03539754⟩
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