On the geometry of maximum entropy problems

DOI10.1137/120862843MaRDI QIDQ2848604zbMATH OpenOpenAlexFDO

Authors Michele Pavon, Augusto Ferrante

Publication date 26 September 2013

Published in SIAM Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.5529

zbMATH Keywords

covariance selectionspectral estimationmaximum entropy problemgeometric principleGibbs's variational principle

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Optimality conditions and duality in mathematical programming (90C46) Inference from stochastic processes and spectral analysis (62M15) Measures of information, entropy (94A17) Stationary stochastic processes (60G10) Optimality conditions for problems in abstract spaces (49K27)

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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