Maximum entropy and robust prediction on a simplex

DOI10.1109/18.761257zbMATH Open0960.62101OpenAlexW2121920571MaRDI QIDQ4701367FDOQ4701367

H. Vincent Poor

Publication date: 21 November 1999

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.761257

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zbMATH Keywords

modeling uncertaintyrobust predictionapproximate stochastic realizationmaximization of spectral entropy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Measures of information, entropy (94A17)

Cited In (1)

• Minimax-robust prediction of discrete time series

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