Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
DOI10.1111/J.1467-9892.2009.00619.XzbMATH Open1224.62049OpenAlexW2163942193MaRDI QIDQ3077658FDOQ3077658
Authors: Georgi N. Boshnakov, Sophie Lambert-Lacroix 
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00619.x
Recommendations
- A periodic Levinson-Durbin algorithm for entropy maximization
- Maximum entropy modeling of periodically correlated processes
- Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
- Maximum entropy spectral analysis and ARMA processes (Corresp.)
- Maximum entropy models for general lag patterns
- On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle
- Spectral estimation from nonconsecutive data
- The Burg problem and Tsallis' entropy
- ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- On periodic and multiple autoregressions
- Title not available (Why is that?)
- Spectral estimation from nonconsecutive data
- Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
- On periodic autoregressive processes estimation
- On the maximum entropy problem with autocorrelations specified on a lattice
Cited In (6)
- A periodic Levinson-Durbin algorithm for entropy maximization
- Maximum entropy models for general lag patterns
- Characterization of autoregressive processes using entropic quantifiers
- Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
- An extension problem for discrete-time periodically correlated stochastic processes
- Entropy-based wavelet de-noising method for time series analysis
Uses Software
This page was built for publication: Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3077658)
