On the Finite Maximum Entropy Extrapolation

Meir Feder; Ehud Weinstein

doi:10.1109/PROC.1984.13065

On the Finite Maximum Entropy Extrapolation

Meir Feder, Ehud Weinstein

School of Electrical Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

It is shown that an autoregressive (AR) extrapolation of a given set of correlation lags by any finite number maximizes the entropy (i.e., the determinant of the correlation matrix) of the corresponding segment of the time series.

Original language	English
Pages (from-to)	1660-1662
Number of pages	3
Journal	Proceedings of the IEEE
Volume	72
Issue number	11
DOIs	https://doi.org/10.1109/PROC.1984.13065
State	Published - Nov 1984

Access to Document

10.1109/PROC.1984.13065

Cite this

@article{71aa978d67994554af25f768a5d6b534,

title = "On the Finite Maximum Entropy Extrapolation",

abstract = "It is shown that an autoregressive (AR) extrapolation of a given set of correlation lags by any finite number maximizes the entropy (i.e., the determinant of the correlation matrix) of the corresponding segment of the time series.",

author = "Meir Feder and Ehud Weinstein",

year = "1984",

month = nov,

doi = "10.1109/PROC.1984.13065",

language = "אנגלית",

volume = "72",

pages = "1660--1662",

journal = "Proceedings of the IEEE",

issn = "0018-9219",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

number = "11",

}

TY - JOUR

T1 - On the Finite Maximum Entropy Extrapolation

AU - Feder, Meir

AU - Weinstein, Ehud

PY - 1984/11

Y1 - 1984/11

N2 - It is shown that an autoregressive (AR) extrapolation of a given set of correlation lags by any finite number maximizes the entropy (i.e., the determinant of the correlation matrix) of the corresponding segment of the time series.

AB - It is shown that an autoregressive (AR) extrapolation of a given set of correlation lags by any finite number maximizes the entropy (i.e., the determinant of the correlation matrix) of the corresponding segment of the time series.

UR - http://www.scopus.com/inward/record.url?scp=0021526244&partnerID=8YFLogxK

U2 - 10.1109/PROC.1984.13065

DO - 10.1109/PROC.1984.13065

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:0021526244

SN - 0018-9219

VL - 72

SP - 1660

EP - 1662

JO - Proceedings of the IEEE

JF - Proceedings of the IEEE

IS - 11

ER -

On the Finite Maximum Entropy Extrapolation

Abstract

Access to Document

Other files and links

Fingerprint

Cite this