A periodic Levinson-Durbin algorithm for entropy maximization

Georgi N. Boshnakov; Sophie Lambert-Lacroix

doi:10.1016/j.csda.2011.07.001

A periodic Levinson-Durbin algorithm for entropy maximization

Georgi N. Boshnakov, Sophie Lambert-Lacroix

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

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 LevinsonDurbin 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. © 2011 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	15-24
Number of pages	9
Journal	Computational Statistics and Data Analysis
Volume	56
Issue number	1
DOIs	https://doi.org/10.1016/j.csda.2011.07.001
Publication status	Published - 1 Jan 2012

Keywords

Maximum entropy method
Partial autocorrelation
Periodic LevinsonDurbin algorithm
Periodically correlated processes

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10.1016/j.csda.2011.07.001

http://www.sciencedirect.com/science/article/pii/S0167947311002556

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AB - 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 LevinsonDurbin 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. © 2011 Elsevier B.V. All rights reserved.

KW - Maximum entropy method

KW - Partial autocorrelation

KW - Periodic LevinsonDurbin algorithm

KW - Periodically correlated processes

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DO - 10.1016/j.csda.2011.07.001

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JF - Computational Statistics and Data Analysis

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A periodic Levinson-Durbin algorithm for entropy maximization

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Keywords

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