ARMA models, prewhitening, and minimum cross entropy

DOI10.1109/78.193217zbMATH Open0766.62057OpenAlexW2053676339MaRDI QIDQ4036252FDOQ4036252

Authors Dimitris Politis 

Publication date 16 May 1993

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.193217

zbMATH Keywords

spectral densityARMA modelsstationary time seriesspectral estimationFourier coefficientsprewhiteningsample autocovariancesasymptotic consistencyminimum cross entropy spectral analysisposterior spectral densityprior spectral density

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Maximum entropy spectral analysis and ARMA processes (Corresp.)
• scientific article; zbMATH DE number 3896149
• Minimum cross-entropy spectral analysis of multiple signals
• scientific article; zbMATH DE number 3988553
• Properties of the cross entropy between ARMA processes

Cited In (4)

• Minimum cross-entropy spectral analysis of multiple signals
• Relative entropy and spectral constraints: some invariance properties of the ARMA class
• Title not available (Why is no real title available?)
• Properties of the cross entropy between ARMA processes

This page was built for publication: ARMA models, prewhitening, and minimum cross entropy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4036252)