The Arov-Grossman model and the Burg multivariate entropy

DOI10.1007/S00041-003-0914-ZzbMath1067.60012OpenAlexW2011597008MaRDI QIDQ1879335

J. G. Marcano, María Dolores Morán

Publication date: 22 September 2004

Published in: The Journal of Fourier Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00041-003-0914-z

zbMATH Keywords

Levinson algorithmmultivariate time seriesBurg's entropycovariance extension problem

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Prediction theory (aspects of stochastic processes) (60G25) Operator colligations (= nodes), vessels, linear systems, characteristic functions, realizations, etc. (47A48) Trigonometric moment problems in one variable harmonic analysis (42A70)

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