Maximum entropy interpretation of autoregressive spectral densities

DOI10.1016/0167-7152(82)90004-9zbMath0502.62080OpenAlexW1973594585MaRDI QIDQ1172909

Emanuel Parzen

Publication date: 1982

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(82)90004-9

zbMATH Keywords

cross-entropystationary time seriesinformation divergenceexponential modelsnew proof of maximum entropy characterization of autoregressive spectral densities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Statistical aspects of information-theoretic topics (62B10)

Related Items

Entropy, divergence and distance measures with econometric applications, P. C. Mahalanobis in the context of current econometrics research, Asymptotically optimal estimation in misspecified time series models, The principle of maximum entropy, Time-series segmentation: A model and a method

Cites Work

• Some recent advances in time series modeling
• Nonparametric Statistical Data Modeling
• On Information and Sufficiency
• A new look at the statistical model identification
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