A periodic Levinson-Durbin algorithm for entropy maximization

DOI10.1016/J.CSDA.2011.07.001MaRDI QIDQ429609zbMATH OpenOpenAlexFDO

Authors Georgi N. Boshnakov, Sophie Lambert-Lacroix

Publication date 20 June 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2011.07.001

zbMATH Keywords

numerical examplesrecursive algorithmpartial autocorrelationperiodically correlated processesentropy maximum methodperiodic Levinson-Durbin algorithm

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• An extension problem for discrete-time periodically correlated stochastic processes
• Bibliography on cyclostationarity
• Exact maximum likelihood estimation for non-stationary periodic time series models
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Moving average processes and maximum entropy
• Periodic Time Series Models
• Periodically Correlated Random Sequences
• Spectral estimation from nonconsecutive data

Cited in

(3)

• Long memory with stochastic variance model: a recursive analysis for US inflation
• scientific article; zbMATH DE number 176094 (Why is no real title available?)
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

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Uses Software

• pcme
• R

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