Maximum entropy modeling of periodically correlated processes

DOI10.1109/18.641573MaRDI QIDQ4392410zbMATH OpenOpenAlexFDO

Authors Hao Zhang

Publication date 8 June 1998

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.641573

zbMATH Keywords

autoregressionentropyGaussian processesinformation,probability density

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Measures of information, entropy (94A17)

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Cited in

(13)

• Intermittency from maximum entropy distribution
• The Carathéodory-Toeplitz problem with partial data
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Maximum entropy models from phase harmonic covariances
• An extension problem for discrete-time periodically correlated stochastic processes
• Maximum entropy models for general lag patterns
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses
• Moving average processes and maximum entropy
• A periodic Levinson-Durbin algorithm for entropy maximization
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• Understanding frequency distributions of path-dependent processes with non-multinomial maximum entropy approaches
• Coupled continuous time random maxima

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