An information theoretical delay estimator
University of Twente, Department of Electrical Engineering,
P.O. Box 217, NL-7500 AE Enschede, The Netherlands,
present addres
University of Groningen, Department of Computing Science,
P.O. Box 800, NL-9700 AV Groningen, The Netherlands,
phone: +31.50.363 3940 - fax: +31.50.363 38005
- e-mail: rudy@cs.rug.nl
Abstract
Mutual information is used in a model free and non-parametric general
purpose method to define time-delays between stochastic signals. For each of
the two stationary stochastic signals we define a past and a future by
cutting both infinite sample sequences into two parts: the past and the
future. The time-delay is considered to be the time-shift between the
cutting moments for which the mutual information between both infinite
length past vectors and both infinite lenght future vectors reaches a
minimum. For stationary stochastic signals and under certain convergence
conditions this mutual information posesses one unique minimum. We present
some theoretical elaborations and discuss this method in relation to other
methods.
Published
Ninth Symposium on Information Theory in the Benelux,
May 26-27, 1988, Mierlo, The Netherlands,
pp. 121-128,
Ed. K.A. Schouwhamer Immink,
Werkgemeenschap Informatie- en
Communicatietheorie, Enschede,
ISBN 90-71048-04-7,
BibTeX
other publications