USING OPTIMAL MASS TRANSPORT FOR TRACKING AND INTERPOLATION OF TOEPLITZ COVARIANCE MATRICES

In this work, we propose a novel method for interpolation and extrapolation of Toeplitz structured covariance matrices. By considering a spectral representation of Toeplitz matrices, we use an optimal mass transport problem in the spectral domain in order to define a notion of distance between such matrices. The obtained optimal transport plan naturally induces a way of interpolating, as well as extrapolating, Toeplitz matrices. The constructed covariance matrix interpolants and extrapolants preserve the Toeplitz structure, as well as the positive semi-definiteness and the zeroth covariance of the original matrices. We demonstrate the proposed method's ability to model locally linear shifts of spectral power for slowly varying stochastic processes, illustrating the achievable performance using a simple tracking problem.
QC 20181025