An Efficient Algorithm for Maximum-Entropy Extension of Block-Circulant Covariance Matrices
نویسندگان
چکیده
Article history: Received 28 December 2012 Accepted 12 June 2013 Available online xxxx Submitted by A. Böttcher MSC: 15A83 15B05 93E12 60G10 49N15 65K10
منابع مشابه
On the Geometry of Maximum Entropy Problems
We show that a simple geometric result suffices to derive the form of the optimal solution in a large class of finiteand infinite-dimensional maximum entropy problems concerning probability distributions, spectral densities, and covariance matrices. These include Burg’s spectral estimation method and Dempster’s covariance completion, as well as various recent generalizations of the above. We th...
متن کاملEmbedding nonnegative definite Toeplitz matrices in nonnegative definite circulant matrices, with application to covariance estimation
Ahtract -The class of nonnegative definite Toeplitz matrices that can be embedded in nonnegative definite circulant matrices of larger sue is characterized. An equivalent characterization in terms of the spectrum of the underlying process is also presented, together with the corresponding extrema1 processes. It is shown that a given finite duration sequence p can be extended to be the covarianc...
متن کاملCirculant embedding of approximate covariances for inference from Gaussian data on large lattices
We introduce periodic covariance approximations designed for embedding covariance matrices for lattice-located observations inside of nested block circulant covariance matrices. The approximations are positive definite provided that the embedding lattice is at least as large as the observation lattice, in contrast with standard circulant embedding methods that require the embedding lattice to b...
متن کاملOn Constructions of MDS Matrices From Circulant-Like Matrices For Lightweight Cryptography
Maximum distance separable (MDS) matrices have applications not only in coding theory but are also of great importance in the design of block ciphers and hash functions. It is highly nontrivial to find MDS matrices which could be used in lightweight cryptography. In a SAC 2004 paper, Junod et. al. constructed a new class of efficient MDS matrices whose submatrices were circulant matrices and th...
متن کاملA generalized Levinson algorithm for covariance extension with application to multiscale autoregressive modeling
Efficient computation of extensions of banded, partially known covariance matrices is provided by the classical Levinson algorithm. One contribution of this paper is the introduction of a generalization of this algorithm that is applicable to a substantially broader class of extension problems. This generalized algorithm can compute unknown covariance elements in any order that satisfies certai...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/1107.2465 شماره
صفحات -
تاریخ انتشار 2011