A Mutual Information Based Distance for Multivariate Gaussian Processes.

In this paper a new distance on the set of multivariate Gaussian linear stochastic processes is proposed based on the notion of mutual information. The definition of the distance is inspired by various properties of the mutual information of past and future of a stochastic process. For two special classes of stochastic processes this mutual information distance is shown to be equal to a cepstral distance. For general multivariate processes, the behavior of the mutual information distance is similar to the behavior of an ad hoc defined multivariate cepstral distance. [ABSTRACT FROM AUTHOR]