On the Geometry of Maximum Entropy Problems

DOI10.1137/120862843zbMath1306.94011arXiv1112.5529OpenAlexW2066629158MaRDI QIDQ2848604

Augusto Ferrante, Michele Pavon

Publication date: 26 September 2013

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5529

zbMATH Keywords

spectral estimationcovariance selectionmaximum entropy problemgeometric principleGibbs's variational principle

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Optimality conditions and duality in mathematical programming (90C46) Measures of information, entropy (94A17) Optimality conditions for problems in abstract spaces (49K27)

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