Nonparametric maximum entropy
Copyright policy )Nonparametric maximum entropy
Summary: Burg's standard maximum entropy method and the resulting autoregressive model has been widely applied for spectrum estimation and prediction. A generalization of the maximum entropy formalism in a nonparametric setting is presented, and the class of the resulting solutions is identified to be a class of Markov processes. The proof is based on a string of information theoretic arguments developed in \textit{B. S. Choi} and \textit{T. M. Cover's} [Proc. IEEE, Vol. 72, No. 8, 1094-1095 (1984)] derivation of Burg's maximum entropy spectrum. A framework for the practical implementation of the proposed method is also presented, in the context of both continuous and discrete data.
- University of Cyprus Cyprus
- Purdue University System United States
- Purdue University West Lafayette United States
Nonlinear time series, Information theory, nonlinear time series, Time series analysis, Nonparametric inference, Formal logic, Statistical aspects of information-theoretic topics, Parameter estimation, Theorem proving, spectrum estimation, Mathematical models, Markov processes, Random processes, autoregressive model, nonparametric estimation, prediction, Spectrum analysis, Density estimation, Markov processes maximum entropy nonlinear time series nonparametric estimation, Inference from stochastic processes, Error analysis, Maximum entropy, Index Terms, Burg's maximum entropy spectrum, Nonparametric estimation, Regression analysis, Binary sequences
Nonlinear time series, Information theory, nonlinear time series, Time series analysis, Nonparametric inference, Formal logic, Statistical aspects of information-theoretic topics, Parameter estimation, Theorem proving, spectrum estimation, Mathematical models, Markov processes, Random processes, autoregressive model, nonparametric estimation, prediction, Spectrum analysis, Density estimation, Markov processes maximum entropy nonlinear time series nonparametric estimation, Inference from stochastic processes, Error analysis, Maximum entropy, Index Terms, Burg's maximum entropy spectrum, Nonparametric estimation, Regression analysis, Binary sequences
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