On the maximum entropy problem with autocorrelations specified on a lattice

The maximum entropy process with autocorrelations specified on a finite lattice is identified as a Gaussian autoregressive process with a special structure in its coefficients. The autoregressive coefficients can be obtained by means of a fast algorithm. This result extends Burg's (1967) well-known maximum entropy theorem, where the autocorrelation is constrained for consecutive lags.<
>