Maximum entropy models for general lag patterns

DOI10.1111/J.1467-9892.2011.00744.XMaRDI QIDQ2930906zbMATH OpenOpenAlexFDO

Authors Georgi N. Boshnakov, Bisher M. Iqelan

Publication date 20 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00744.x

zbMATH Keywords

maximum entropynon-Gaussiantime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Measures of information, entropy (94A17)

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Cites work

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• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Moving average processes and maximum entropy
• Multivariate T-Distributions and Their Applications
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• Sample partial autocorrelation function of a multivariate time series
• Sufficient statistics for arma models with some fixed parameters
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Cited in

(8)

• The Burg problem and Tsallis' entropy
• Maximum entropy models from phase harmonic covariances
• Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients
• ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses
• ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
• Maximum entropy modeling of periodically correlated processes
• Maximum entropy and robust prediction on a simplex
• scientific article; zbMATH DE number 4117561 (Why is no real title available?)

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