Title :
On the maximum entropy problem with autocorrelations specified on a lattice
Author :
Politis, Dimitris N.
Author_Institution :
Dept. of Stat., Purdue Univ., West Lafayette, IN, USA
fDate :
4/1/1993 12:00:00 AM
Abstract :
The maximum entropy process with autocorrelations specified on a finite lattice is identified as a Gaussian autoregressive process with a special structure in its coefficients. The autoregressive coefficients can be obtained by means of a fast algorithm. This result extends Burg´s (1967) well-known maximum entropy theorem, where the autocorrelation is constrained for consecutive lags
Keywords :
correlation theory; information theory; stochastic processes; Burg theorem; Gaussian autoregressive process; autocorrelations; autoregressive coefficients; fast algorithm; finite lattice; maximum entropy process; maximum entropy theorem; stochastic process; Autocorrelation; Constraint theory; Entropy; Equations; Lattices; Random variables; Signal processing algorithms; Statistics; Stochastic processes; Terrorism;
Journal_Title :
Signal Processing, IEEE Transactions on
