Title :
On the relation between the maximum entropy probability density function and the autoregressive model
Author_Institution :
Yonsei University, Seoul, Korea
fDate :
12/1/1986 12:00:00 AM
Abstract :
The problem of maximizing the entropy of an n-variate random vector subject to constraints on the first p + 1 autocovariance terms is examined. It is shown that the maximum is achieved by the Gaussian autoregressive process of order p satisfying the autocovariance constraints. This solution provides Burg´s theorem about the maximum entropy spectral density as a special case.
Keywords :
Digital signal processing; Discrete Fourier transforms; Entropy; Narrowband; Probability density function; Roundoff errors; Signal processing algorithms; Speech analysis; Speech processing; Testing;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
DOI :
10.1109/TASSP.1986.1164968