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Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

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  • Georgi N. Boshnakov
  • Sophie Lambert‐Lacroix

Abstract

. 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.

Suggested Citation

  • Georgi N. Boshnakov & Sophie Lambert‐Lacroix, 2009. "Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(5), pages 467-486, September.
    • Handle: RePEc:bla:jtsera:v:30:y:2009:i:5:p:467-486
    DOI: 10.1111/j.1467-9892.2009.00619.x
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    References listed on IDEAS

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    1. Sophie Lambert‐Lacroix, 2005. "Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 423-435, May.
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    Cited by:

    1. Boshnakov, Georgi N. & Lambert-Lacroix, Sophie, 2012. "A periodic Levinson-Durbin algorithm for entropy maximization," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 15-24, January.

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    2. Boshnakov, Georgi N. & Lambert-Lacroix, Sophie, 2012. "A periodic Levinson-Durbin algorithm for entropy maximization," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 15-24, January.

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