On the Finite Maximum Entropy Extrapolation

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)1660-1662
Number of pages3
JournalProceedings of the IEEE
Issue number11
StatePublished - Nov 1984


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