A periodic Levinson-Durbin algorithm for entropy maximization

Authors:
Georgi N. Boshnakov;Sophie Lambert-Lacroix
Affiliations:
School of Mathematics, The University of Manchester, Oxford Road, Manchester M13 9PL, UK;UJF-Grenoble 1 / CNRS / UPMF / TIMC-IMAG, UMR 5525, Grenoble, F-38041, France
Venue:
Computational Statistics & Data Analysis
Year:
2012

Citing 4
Cited 0

Bibliography on cyclostationarity

Signal Processing
Exact maximum likelihood estimation for non-stationary periodic time series models

Computational Statistics & Data Analysis
Spectral estimation from nonconsecutive data

IEEE Transactions on Information Theory
Moving average processes and maximum entropy

IEEE Transactions on Information Theory

Quantified Score

Hi-index	0.03

Visualization

Abstract

A recursive algorithm is presented for the computation of the first-order and second-order derivatives of the entropy of a periodic autoregressive process with respect to the autocovariances. It is an extension of the periodic Levinson-Durbin 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 maximization by that method are given. An implementation of the algorithm is available as an R package.