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

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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)

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 that?)
• Properties of the cross entropy between ARMA processes

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