Multivariate maximum entropy spectrum

DOI10.1006/JMVA.1993.1046MaRDI QIDQ689322zbMATH OpenOpenAlexFDO

Authors ByoungSeon Choi

Publication date 5 December 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1993.1046

zbMATH Keywords

autocovariancesautoregressive processblock LU decompositionBurg's maximum entropy spectrummultivariate version of Burg's spectrumvector autoregressive process

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(5)

• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• The Arov-Grossman model and the Burg multivariate entropy
• The Burg problem and Tsallis' entropy
• Quantile-crossing spectrum and spline autoregression estimation
• Spline Autoregression Method for Estimation of Quantile Spectrum

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