Maximum entropy principle in problems of identification of a class of nonstationary signals

MaRDI QIDQ1898574zbMATH OpenFDO

Authors V. Ya. Galkin, V. A. Karpenko

Publication date 25 September 1995

Published in Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

identificationmaximum entropy principlenonstationary stochastic signals

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Review text

An identification problem for a certain class of nonstationary stochastic signals is investigated by applying the maximum entropy principle. The analytic form of maximum entropy spectral estimator is derived, and the criteria for evaluation of the lengths of homogeneity time intervals, within which the process under investigation fits well (up to a given degree) an adopted model, are presented for a class of autoregressive processes using a priori information about the process. Possible extensions of the results obtained are pointed out.

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(6)

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• Jaynes' principle and maximum entropy spectral estimation
• Nonparametric maximum entropy
• L-Identification for Uniformly Distributed Sources and the q-ary Identification Entropy of Second Order
• Maximum Entropy Kernels for System Identification
• The entropy of a constrained signal: a maximum entropy approach with applications

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