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Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
Author(s) -
Boshnakov Georgi N.,
LambertLacroix Sophie
Publication year - 2009
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2009.00619.x
Subject(s) - autocovariance , mathematics , positive definite matrix , extension (predicate logic) , sequence (biology) , principle of maximum entropy , entropy (arrow of time) , combinatorics , mathematical analysis , statistics , computer science , genetics , eigenvalues and eigenvectors , physics , fourier transform , quantum mechanics , biology , programming language
. 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’ semidefinite. It also works when only positive semidefinite extension(s) exist.