Monotonicity of the Trace-Inverse of Covariance Submatrices and Two-Sided Prediction

It is common to assess the "memory strength" of a stationary process by looking at how fast the normalized log-determinant of its covariance submatrices (i.e., entropy rate) decreases. In this work, we propose an alternative characterization in terms of the normalized trace-inverse of the...

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Veröffentlicht in:	IEEE transactions on information theory 2022-04, Vol.68 (4), p.2767-2781
Hauptverfasser:	Khina, Anatoly, Yeredor, Arie, Zamir, Ram
Format:	Artikel
Sprache:	eng
Schlagworte:	causality Covariance Covariance matrices Eigenvalues and eigenfunctions Entropy Errors Estimation Maximum entropy minimum mean square error prediction Stationary processes Tin Writing
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