Maximum entropy properties of discrete-time first-order stable spline kernel
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Abstract: The first order stable spline (SS-1) kernel is used extensively in regularized system identification. In particular, the stable spline estimator models the impulse response as a zero-mean Gaussian process whose covariance is given by the SS-1 kernel. In this paper, we discuss the maximum entropy properties of this prior. In particular, we formulate the exact maximum entropy problem solved by the SS-1 kernel without Gaussian and uniform sampling assumptions. Under general sampling schemes, we also explicitly derive the special structure underlying the SS-1 kernel (e.g. characterizing the tridiagonal nature of its inverse), also giving to it a maximum entropy covariance completion interpretation. Along the way similar maximum entropy properties of the Wiener kernel are also given.
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Cited in
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- Sparse plus low rank network identification: a nonparametric approach
- When cannot regularization improve the least squares estimate in the kernel-based regularized system identification
- Kernel-based identification of asymptotically stable continuous-time linear dynamical systems
- On semiseparable kernels and efficient implementation for regularized system identification and function estimation
- Linear system identification using the sequential stabilizing spline algorithm
- On kernel design for regularized LTI system identification
- A shift in paradigm for system identification
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