Maximum entropy interpretation of autoregressive spectral densities

DOI10.1016/0167-7152(82)90004-9MaRDI QIDQ1172909zbMATH OpenOpenAlexFDO

Authors Emanuel Parzen

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

zbMATH Keywords

cross-entropyexponential modelsinformation divergencenew proof of maximum entropy characterization of autoregressive spectral densitiesstationary time series

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cites work

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• On Information and Sufficiency
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Cited in

(7)

• The principle of maximum entropy
• Time-series segmentation: A model and a method
• Asymptotically optimal estimation in misspecified time series models
• Entropy, divergence and distance measures with econometric applications
• P. C. Mahalanobis in the context of current econometrics research
• Quantile-crossing spectrum and spline autoregression estimation
• Spline Autoregression Method for Estimation of Quantile Spectrum

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