Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

DOI10.1111/J.1467-9892.2009.00619.XMaRDI QIDQ3077658zbMATH OpenOpenAlexFDO

Authors Georgi N. Boshnakov, Sophie Lambert-Lacroix

Publication date 22 February 2011

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2009.00619.x

zbMATH Keywords

partial autocorrelationspecification of models

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 4158856 (Why is no real title available?)
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• On periodic and multiple autoregressions
• On periodic autoregressive processes estimation
• On the maximum entropy problem with autocorrelations specified on a lattice
• Spectral estimation from nonconsecutive data

Cited in

(6)

• A periodic Levinson-Durbin algorithm for entropy maximization
• Maximum entropy models for general lag patterns
• Characterization of autoregressive processes using entropic quantifiers
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• An extension problem for discrete-time periodically correlated stochastic processes
• Entropy-based wavelet de-noising method for time series analysis

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Uses Software

• pcme
• R

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