Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
نویسندگان
چکیده
منابع مشابه
Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
We consider the maximum entropy extention 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 i...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2009
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.2009.00619.x