A periodic Levinson-Durbin algorithm for entropy maximization

DOI10.1016/J.CSDA.2011.07.001zbMATH Open1244.65009OpenAlexW2118682620MaRDI QIDQ429609FDOQ429609

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

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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)

Cites Work

• Title not available (Why is that?)
• Periodically Correlated Random Sequences
• Periodic Time Series Models
• 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
• An extension problem for discrete-time periodically correlated stochastic processes
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• Spectral estimation from nonconsecutive data
• Moving average processes and maximum entropy
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes

Cited In (3)

• Long memory with stochastic variance model: a recursive analysis for US inflation
• Title not available (Why is that?)
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

Uses Software

• R
• pcme

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