Maximum entropy modeling of periodically correlated processes

  • Authors:

  • H. Zhang

  • Affiliations:

  • Dept. of Math., Stat. & Comput. Sci., Marquette Univ., Milwaukee, WI

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 1997

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Abstract

When the covariance function of a periodically correlated process is known to a certain lag, we show it can be extrapolated in such a way that it maximizes the entropy. The process with the maximum entropy is a Gaussian periodic autoregressive process and is unique in distribution