MAXIMUM ENTROPY FOR PERIODICALLY CORRELATED PROCESSES FROM NONCONSECUTIVE AUTOCOVARIANCE COEFFICIENTS

Georgi N. Boshnakov; Sophie Lambert-Lacroix

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MAXIMUM ENTROPY FOR PERIODICALLY CORRELATED PROCESSES FROM NONCONSECUTIVE AUTOCOVARIANCE COEFFICIENTS

机译：非协调自变量系数在周期性相关过程中的最大熵

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摘要

We consider the maximum entropy extension of a partially specified autocovariance sequence of a periodically correlated process. The sequence may be specified on a non-contiguous set. We give a method which solves the problem completely - it gives the positive definite solution when it exists and reports that it does not exist otherwise. The method is numerically reliable even when the solution is 'almost' semidefmite. It also works when only positive semidefinite cxtension(s) exist.

机译：我们考虑周期性相关过程的部分指定自协方差序列的最大熵扩展。该序列可以在非连续集合上指定。我们提供了一种完全解决问题的方法-当存在时给出正定解，并报告否则不存在。即使解决方案是“几乎”半定形的，该方法在数值上也是可靠的。当仅存在正半确定加深时，它也适用。

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来源
《Journal of Time Series Analysis》 |2009年第5期|467-486|共20页
作者
Georgi N. Boshnakov; Sophie Lambert-Lacroix;
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作者单位

The University of Manchester and Universite de Grenoble et CNRS;

The University of Manchester and Universite de Grenoble et CNRS;

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正文语种 eng
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关键词
maximum entropy method; partial autocorrelation; periodically correlated processes;

机译：最大熵法部分自相关周期性相关的过程;

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专利

1. EXTENSION OF AUTOCOVARIANCE COEFFICIENTS SEQUENCE FOR PERIODICALLY CORRELATED PROCESSES [J] . SOPHIE LAMBERT-LACROIX Journal of Time Series Analysis . 2005,第3期

机译：周期性相关过程的自变量系数序列的扩展
2. Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series [J] . Dudek A. E. Metrika: International Journal for Theoretical and Applied Statistics . 2015,第3期

机译：循环块自举，用于几乎周期性相关的时间序列的自协方差函数的系数
3. Maximum entropy modeling of periodically correlated processes [J] . Zhang H. IEEE Transactions on Information Theory . 1997,第6期

机译：周期性相关过程的最大熵建模
4. Extension of autocovariance coefficients sequence for periodically correlated random processes by using the partial autocorrelation function [C] . Lambert Sophie European Signal Processing Conference . 1996

机译：利用偏自相关函数扩展周期相关随机过程的自协方差系数序列
5. Minimizing maximum regret for linear programs with interval objective function coefficients. [D] . Mausser, Helmut Ernst. 1997

机译：最小化具有间隔目标函数系数的线性程序的最大后悔。
6. Dynamics of non-stationary processes that follow the maximum of the Rényi entropy principle [O] . Dmitry S. Shalymov, Alexander L. Fradkov -1

机译：遵循Rényi熵原理最大值的非平稳过程的动力学
7. Extension of autocovariance coefficients sequence for periodically correlated processes [O] . Sophie Lambert-lacroix 2013

机译：周期性相关过程的自协方差系数序列的扩展

MAXIMUM ENTROPY FOR PERIODICALLY CORRELATED PROCESSES FROM NONCONSECUTIVE AUTOCOVARIANCE COEFFICIENTS

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