conference paper
MAXENT priors for stochastic filtering problems
De Nicolao, G.
•
Ferrari-Trecate, G.
•
Lecchini, A.
1998
Proc. Symp. on Math. Theory of Networks and Systems
(MTNS'98)
In the present paper, the problem of selecting priors for continuous-time processes is approached using the MaxEnt paradigm. First, assuming stationarity and Gaussianity, a suitable definition of differential entropy rate is introduced. Second, it is observed that a prior on the smoothness of the signal can be rather naturally expressed through the variances of the process and some of its derivatives. Finally, under some technical assumption, the expression of the MaxEnt spectrum is derived.
Type
conference paper
Author(s)
De Nicolao, G.
Ferrari-Trecate, G.
Lecchini, A.
Date Issued
1998
Published in
Proc. Symp. on Math. Theory of Networks and Systems
(MTNS'98)
Start page
755
End page
758
Note
Padova, Italy, 6-10 July.
Editorial or Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
January 10, 2017
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