A maximum entropy solution of the covariance extension problem for reciprocal processes

Francesca P. Carli, Augusto Ferrante, Michele Pavon, Giorgio Picci

Research output: Contribution to journalArticlepeer-review


Stationary reciprocal processes defined on a finite interval of the integer line can be seen as a special class of Markov random fields restricted to one dimension. Nonstationary reciprocal processes have been extensively studied in the past especially by Jamison et al. The specialization of the nonstationary theory to the stationary case, however, does not seem to have been pursued in sufficient depth in the literature. Stationary reciprocal processes (and reciprocal stochastic models) are potentially useful for describing signals which naturally live in a finite region of the time (or space) line. Estimation or identification of these models starting from observed data seems still to be an open problem which can lead to many interesting applications in signal and image processing. In this paper, we discuss a class of reciprocal processes which is the acausal analog of auto-regressive (AR) processes, familiar in control and signal processing. We show that maximum likelihood identification of these processes leads to a covariance extension problem for block-circulant covariance matrices. This generalizes the famous covariance band extension problem for stationary processes on the integer line. As in the usual stationary setting on the integer line, the covariance extension problem turns out to be a basic conceptual and practical step in solving the identification problem. We show that the maximum entropy principle leads to a complete solution of the problem.

Original languageEnglish (US)
Pages (from-to)1999-2012
Number of pages14
JournalIEEE Transactions on Automatic Control
Issue number9
StatePublished - 2011


  • Circulant matrices
  • Covariance extension
  • Covariance selection
  • Maximum entropy
  • Reciprocal processes

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering


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