On the Maximum Entropy Problem with Autocorrelations Specified on a Lattice

Abstract

The maximum entropy process with autocorrelations specified on a finite lattice is identified to be 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 well-known maximum entropy theorem, where the autocorrelation is constrained for consecutive lags. © 1993 IEEE