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On two-dimensional spectral realization

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2 Author(s)

Reconstruction of a spectral density function from a finite set of covariances can be performed by maximizing an entropy functional. The method of the maximum entropy on the mean is used For computing a discrete version of this spectral density and allows one to give a new interpretation of these reconstruction methods. In fact, the authors show that the choice of the entropy is directly related to a prior distribution. In particular, they consider processes on Z2 . Steepest descent procedures permit the numerical computation of discrete realizations for a wide class of entropies. To ensure the nonnegativity of the solution related to the Burg entropy, they present a new algorithm based on a fixed-point method and the Yule-Walker equations to compute this solution. Then, the solution of the dual problem is obtained as the limit of the trajectory of an ordinary differential equation

Published in:

Information Theory, IEEE Transactions on  (Volume:40 ,  Issue: 5 )

Date of Publication:

Sep 1994

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