Periodic Levinson-Durbin Algorithm for Entropy Maximisation
نویسندگان
چکیده
We give a recursive algorithm for the computation of the first and second order derivatives of the entropy of a periodic autoregressive process with respect to the autocovariances. It is an extentions of the periodic Levinson-Durbin algorithm. The algorithm has been developed for use at one of the steps of an entropy maximisation method developed by the authors. We give numerical examples of entropy maximisation by that method. An implementation of the algorithm is available as an R package.
منابع مشابه
Periodic Levinson-Durbin algorithm for entropy maximization
One gives a recursive algorithm for the computation of the first and second order derivatives of the entropy of a periodic autoregressive process with respect to the autocovariances. It is an extension of the periodic LevinsonDurbin algorithm. The algorithm has been developed for use at one of the steps of an entropy maximization method developed by the authors. Numerical examples of entropy ma...
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