Computation of minimum cross entropy spectral estimates: An unconstrained dual convex programming method

DOI10.1109/TIT.1986.1057161zbMath0585.62161OpenAlexW2157742231MaRDI QIDQ3709720

Patrick L. Brockett, A. Charnes, Kwang H. Paick

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1109/tit.1986.1057161

zbMATH Keywords

Lagrange multipliersspectral density estimatesminimum cross entropy spectral analysisunconstrained dual convex programming problem

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Convex programming (90C25) Probabilistic methods, stochastic differential equations (65C99)

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