Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

Georgi N. Boshnakov and Sophie Lambert‐Lacroix

Journal of Time Series Analysis, 2009, vol. 30, issue 5, 467-486

Abstract: 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.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.2009.00619.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:5:p:467-486

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().