A Maximum Entropy solution of the Covariance Extension Problem for Reciprocal Processes

zbMath1234.93106arXiv1101.4849MaRDI QIDQ3001222

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

Publication date: 31 May 2011

Full work available at URL: https://arxiv.org/abs/1101.4849

zbMATH Keywords

maximum entropy principleMarkov random fieldsmaximum likelihood identificationcovariance extension problemnon-stationary reciprocal processesstationary reciprocal processes

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Stochastic systems in control theory (general) (93E03)

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