An efficient algorithm for maximum entropy extension of block-circulant covariance matrices

DOI10.1016/j.laa.2013.06.014zbMath1283.65035arXiv1107.2465OpenAlexW2963037371MaRDI QIDQ2435387

Michele Pavon, Augusto Ferrante, Giorgio Picci, Francesca P. Carli

Publication date: 19 February 2014

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.2465

zbMATH Keywords

algorithmmaximum likelihood estimationmatrix completionsignal processingToeplitz matricescirculant matricescovariance matricesimage modelingreciprocal processespositive definite completionstationary periodic processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Image processing (compression, reconstruction, etc.) in information and communication theory (94A08) Toeplitz, Cauchy, and related matrices (15B05) Matrix completion problems (15A83)

Related Items

A test for block circular symmetric covariance structure with divergent dimension, A direct method for solving block circulant banded system of linear equations, Gaussian conditionally Markov sequences: modeling and characterization, High-dimensional Edgeworth expansion of LR statistic for testing block circular symmetry covariance structure and its errors

Uses Software

• CHOMPACK
• Algorithm 457

Cites Work

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