ARMA MODELS REALIZATION AND IMPULSE RESPONSES
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Publication:2746223
DOI10.1081/STM-100002275zbMath1034.62078MaRDI QIDQ2746223
Valérie Girardin, Glaysar Castro
Publication date: 2001
Published in: Stochastic Models (Search for Journal in Brave)
maximum entropy; spectral density; impulse response; covariances; order identification; auto-regressive moving average models; stationary discrete-time process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
60G35: Signal detection and filtering (aspects of stochastic processes)
62B10: Statistical aspects of information-theoretic topics
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Cites Work
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- ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses
- Recursive estimation of mixed autoregressive-moving average order
- Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
- Moving average processes and maximum entropy