Abstract
The related problems of (finite-length) robust prediction and maximizing spectral entropy over a simplex of co-variance matrices are considered. General properties of iterative solutions of these problems are developed, and monotone convergence proofs are presented for two algorithms that provide such solutions. The analogous problems for simplexes of spectral densities are also considered.
Original language | English (US) |
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Pages (from-to) | 1150-1164 |
Number of pages | 15 |
Journal | IEEE Transactions on Information Theory |
Volume | 45 |
Issue number | 4 |
DOIs | |
State | Published - 1999 |
All Science Journal Classification (ASJC) codes
- Information Systems
- Computer Science Applications
- Library and Information Sciences