• DocumentCode
    974908
  • Title

    A MAP estimate that maximizes entropy—An alternative interpretation for an autoregressive model

  • Author

    Pillai, S. Unnikrishna

  • Author_Institution
    University of Pennsylvania, Philadelphia, PA, USA
  • Volume
    73
  • Issue
    4
  • fYear
    1985
  • fDate
    4/1/1985 12:00:00 AM
  • Firstpage
    843
  • Lastpage
    844
  • Abstract
    It is shown here that when extrapolation of a sequence of data with unknown statistics is performed under two optimization constraints, viz. maximizing the entropy and maximizing the a posteriori (MAP) probability density function (PDF) of the unknown sample, the resulting estimate is the same as that of an Autoregressive (AR) model. This leads to the conclusion that the estimate from an AR model is optimum in the sense that it is the MAP estimate which maximizes entropy.
  • Keywords
    Covariance matrix; Density functional theory; Entropy; Equations; Extrapolation; Gaussian distribution; Probability density function; Statistics; Systems engineering and theory; Writing;
  • fLanguage
    English
  • Journal_Title
    Proceedings of the IEEE
  • Publisher
    ieee
  • ISSN
    0018-9219
  • Type

    jour

  • DOI
    10.1109/PROC.1985.13208
  • Filename
    1457476
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=974908