Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.

DOI10.1016/S0167-7152(02)00159-1zbMath1092.62594OpenAlexW2095399717MaRDI QIDQ1871254

Glaysar Castro, Valérie Girardin

Publication date: 7 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00159-1

zbMATH Keywords

stationary processesNonstationary processesReflection coefficientsMaximum entropyMultivariateAutoregressive processesPeriodically correlated processes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Statistical aspects of information-theoretic topics (62B10)

Related Items

Maximum entropy models for general lag patterns ⋮ A periodic Levinson-Durbin algorithm for entropy maximization ⋮ On periodically correlated wide-sense Markov processes ⋮ Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes

Uses Software

• itsmr
• partsm

Cites Work

• Covariance characterization by partial autocorrelation matrices
• Multivariate maximum entropy spectrum
• Prediction theory and Fourier series in several variables
• A method of matrix inverse triangular decomposition based on contiguous principal submatrices
• Extension of positive definite functions and associated entropy. The multidimensional case
• On periodic and multiple autoregressions
• An approach to modeling seasonally stationary time series
• Sample partial autocorrelation function of a multivariate time series
• Schur parameters, factorization and dilation problems
• Schur Parametrization of Positive Definite Block-Toeplitz Systems
• Matrix Analysis
• Some results in periodic autoregression
• Maximum entropy modeling of periodically correlated processes
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
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