Multivariate Maximum Entropy Spectrum

B. S. Choi

Journal of Multivariate Analysis, 1993, vol. 46, issue 1, 56-60

Abstract: Burg's maximum entropy spectrum given the first p + 1 autocovariances is the spectrum of an autoregressive process of order p. The purpose of this paper is to present a multivariate version of Burg's spectrum.

Date: 1993
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