CROSS‐SPECTRAL ANALYSIS USING MAXIMUM ENTROPY

Abstract

A great deal of interest has been shown in the maximum entropy method (MEM) of power spectral analysis originally suggested by Burg (1967, 1968). The application of MEM to problems of geophysical and astronomical interest has met with considerable success (Ulrych, 1972; Ulrych et al., 1973; Smylie et al., 1973; Currie, 1973a, b; and Jensen and Ulrych, 1973). We have recently received a number of enquiries concerning the possibility of computing maximum entropy crosspower spectra. The purpose of this note is to present a method of determining the MEM crosspower spectrum from a knowledge of the MEM autopower spectra of the bivariate time series.