A periodic Levinson-Durbin algorithm for entropy maximization

DOI10.1016/J.CSDA.2011.07.001zbMath1244.65009OpenAlexW2118682620MaRDI QIDQ429609

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

zbMATH Keywords

numerical examplesrecursive algorithmperiodically correlated processesentropy maximum methodpartial autocorrelationperiodic Levinson-Durbin algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

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Uses Software

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• pcme

Cites Work

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• 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
• Periodic Time Series Models
• Periodically Correlated Random Sequences
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes

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