An intrinsic metric for power spectral density functions

Abstract

We present an intrinsic metric that quantifies distances between power spectral density functions. The metric was derived by the author in a recent arXiv-report (math.OC/0607026) as the geodesic distance between spectral density functions with respect to a particular pseudo-Riemannian metric motivated by a quadratic prediction problem. We provide an independent verification of the metric inequality and discuss certain key properties of the induced topology.