Maximum entropy interpretation of autoregressive spectral densities
From MaRDI portal
Publication:1172909
DOI10.1016/0167-7152(82)90004-9zbMath0502.62080OpenAlexW1973594585MaRDI QIDQ1172909
Publication date: 1982
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-7152(82)90004-9
cross-entropystationary time seriesinformation divergenceexponential modelsnew proof of maximum entropy characterization of autoregressive spectral densities
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Statistical aspects of information-theoretic topics (62B10)
Related Items
Entropy, divergence and distance measures with econometric applications, P. C. Mahalanobis in the context of current econometrics research, Asymptotically optimal estimation in misspecified time series models, The principle of maximum entropy, Time-series segmentation: A model and a method
Cites Work