scientific article; zbMATH DE number 3988553

MaRDI QIDQ3750865zbMATH OpenFDO

Authors Shunsuke Ihara

Publication date 1987

zbMATH Keywords

time seriesspectral densityconstraintsmaximum entropyARMA processI-divergenceautocorrelationsautoregressive moving average processesminimum relative entropyAR processKullback-Leibler information numberminimum cross-entropy methodBurg's spectral estimation method

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(6)

• ARMA models, prewhitening, and minimum cross entropy
• Lower bounds on entropy via the Conley index with application to time series
• Relative entropy and spectral constraints: some invariance properties of the ARMA class
• The entropy of a constrained signal: a maximum entropy approach with applications
• The Burg problem and Tsallis' entropy
• Maximum entropy spectral analysis and ARMA processes (Corresp.)

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