DocumentCode
1401830
Title
Maximum entropy modeling of periodically correlated processes
Author
Zhang, Hao
Author_Institution
Dept. of Math., Stat. & Comput. Sci., Marquette Univ., Milwaukee, WI, USA
Volume
43
Issue
6
fYear
1997
fDate
11/1/1997 12:00:00 AM
Firstpage
2033
Lastpage
2035
Abstract
When the covariance function of a periodically correlated process is known to a certain lag, we show it can be extrapolated in such a way that it maximizes the entropy. The process with the maximum entropy is a Gaussian periodic autoregressive process and is unique in distribution
Keywords
Gaussian distribution; Gaussian processes; autoregressive processes; correlation theory; covariance analysis; extrapolation; information theory; maximum entropy methods; Gaussian periodic autoregressive process; covariance function; extrapolation; maximum entropy modeling; periodically correlated processes; Autoregressive processes; Entropy; Extrapolation; Gaussian processes; Geography; Hydrology; Probability density function; Signal processing; Spectral analysis; Statistics;
fLanguage
English
Journal_Title
Information Theory, IEEE Transactions on
Publisher
ieee
ISSN
0018-9448
Type
jour
DOI
10.1109/18.641573
Filename
641573
Link To Document