A periodic Levinson-Durbin algorithm for entropy maximization
DOI10.1016/J.CSDA.2011.07.001zbMath1244.65009OpenAlexW2118682620MaRDI QIDQ429609
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
numerical examplesrecursive algorithmperiodically correlated processesentropy maximum methodpartial autocorrelationperiodic Levinson-Durbin algorithm
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)
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Cites Work
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- Bibliography on cyclostationarity
- Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
- Exact maximum likelihood estimation for non-stationary periodic time series models
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- Moving average processes and maximum entropy
- Periodic Time Series Models
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- Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
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