论文信息 - Multidimensional maximum-entropy covariance extension

Multidimensional maximum-entropy covariance extension

A universal characterization of multi-dimensional maximum-entropy covariances is presented. We show that the maximum-entropy extension of an arbitrary covariance band of a (nonstationary) multi-dimensional signal must have a banded inverse. Furthermore, we show that for one-dimensional signals such banded-inverse covariances are characterized by finite-order autoregressive models. The same kind of model is inadequate for multi-dimensional signals, but it can be used to approximate maximum-entropy covariances.

H. Lev-Ari | T. Kailath | S. Parker | H. Lev-Ari

[1] Albert Arcese,et al. On the method of maximum entropy spectrum estimation , 1983, IEEE Trans. Inf. Theory.

[2] A. Papoulis. Maximum entropy and spectral estimation: A review , 1981 .

[3] Shunsuke Ihara. Maximum entropy spectral analysis and ARMA processes , 1984, IEEE Trans. Inf. Theory.

[4] E. Jaynes. On the rationale of maximum-entropy methods , 1982, Proceedings of the IEEE.

[5] Jae Lim,et al. A new algorithm for two-dimensional maximum entropy power spectrum estimation , 1981 .

[6] Shunsuke Ihara. Maximum Entropy Spectral Analysis and Arma Processes II , 1983 .

[7] E. Robinson,et al. A historical perspective of spectrum estimation , 1982, Proceedings of the IEEE.

[8] B.S. Choi,et al. An information-theoretic proof of Burg's maximum entropy spectrum , 1984, Proceedings of the IEEE.

[9] Adriaan van den Bos,et al. Alternative interpretation of maximum entropy spectral analysis (Corresp.) , 1971, IEEE Trans. Inf. Theory.

[10] Mats Hamrud,et al. A remark on the correspondence between the maximum entropy method and the autoregressive model (Corresp.) , 1980, IEEE Trans. Inf. Theory.

[11] H. Dym,et al. Extensions of band matrices with band inverses , 1981 .

[12] J. P. Burg,et al. Maximum entropy spectral analysis. , 1967 .

[13] B. Friedlander. Lattice methods for spectral estimation , 1982, Proceedings of the IEEE.

[14] S.M. Kay,et al. Spectrum analysis—A modern perspective , 1981, Proceedings of the IEEE.