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Toeplitz Covariance Matrices and the von Neumann Relative Entropy

  • Tryphon T. Georgiou
Chapter
Part of the Trends in Mathematics book series (TM)

Abstract

Sample covariances based on time-series data fail to be Toeplitz. The purpose of the paper is to suggest the von Neumann relative-entropy as a distance measure for approximating a positive-definite sample covariance by one having the Toeplitz structure. This leads to a convex optimization problem whose solution retains the property of being positive-definite.

Keywords

Approximation Structured matrices Positivity von Neumann entropy 

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Copyright information

© Springer Science+Business Media New York 2003

Authors and Affiliations

  • Tryphon T. Georgiou
    • 1
  1. 1.Dept. of Electrical and Computer EngineeringUniversity of MinnesotaUSA

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