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Probabilistic and Stochastic Methods in Analysis, with Applications pp 247–261Cite as

Innovations and entropy rate with applications in factorization, spectral estimation, and prediction

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Part of the book series: NATO ASI Series ((ASIC,volume 372))

Abstract

The concept of innovations is introduced as the base of the orthonormal representation of a random process and the result is used to simplify the estimation of the spectrum of an ARMA process. The ARMA model is conceptually justified in terms of the principle of maximum entropy generalized in the context of entropy rate.

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Bibliography

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Author information

Authors and Affiliations

  1. Department of Electrical Engineering, Polytechnic University, Route 110, Farmingdale, NY, 11735, USA

    Athanasios Papoulis

Authors
  1. Athanasios Papoulis
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Editor information

Editors and Affiliations

  1. Prometheus Inc., Newport, RI, USA

    J. S. Byrnes , Kathryn A. Hargreaves  & Karl Berry ,  & 

  2. University of Massachusetts, Boston, MA, USA

    J. S. Byrnes

  3. Harvard University, Cambridge, MA, USA

    Jennifer L. Byrnes

  4. Free Software Foundation, Cambridge, MA, USA

    Kathryn A. Hargreaves  & Karl Berry  & 

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© 1992 Springer Science+Business Media Dordrecht

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Papoulis, A. (1992). Innovations and entropy rate with applications in factorization, spectral estimation, and prediction. In: Byrnes, J.S., Byrnes, J.L., Hargreaves, K.A., Berry, K. (eds) Probabilistic and Stochastic Methods in Analysis, with Applications. NATO ASI Series, vol 372. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2791-2_12

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  • DOI: https://doi.org/10.1007/978-94-011-2791-2_12

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-94-010-5239-9

  • Online ISBN: 978-94-011-2791-2

  • eBook Packages: Springer Book Archive

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