On the geometry of maximum entropy problems
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covariance selectiongeometric principleGibbs's variational principlemaximum entropy problemspectral estimation
Optimality conditions for problems in abstract spaces (49K27) Stationary stochastic processes (60G10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15) Optimality conditions and duality in mathematical programming (90C46) Measures of information, entropy (94A17)
Abstract: We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finite and infinite-dimensional maximum entropy problems concerning probability distributions, spectral densities and covariance matrices. These include Burg's spectral estimation method and Dempster's covariance completion, as well as various recent generalizations of the above. We then apply this orthogonality principle to the new problem of completing a block-circulant covariance matrix when an a priori estimate is available.
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