An information theoretical delay estimator

R. Moddemeijer

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:


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.

Full paper


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
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