Multivariate maximum entropy spectrum

DOI10.1006/jmva.1993.1046zbMath0778.62084OpenAlexW2094630639MaRDI QIDQ689322

Byoung-Seon Choi

Publication date: 5 December 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1046

zbMATH Keywords

autoregressive processvector autoregressive processblock LU decompositionautocovariancesBurg's maximum entropy spectrummultivariate version of Burg's spectrum

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.