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Properties of the cross entropy between ARMA processes - MaRDI portal

Properties of the cross entropy between ARMA processes

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Publication:2305246

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DOI10.1007/978-3-030-26980-7_39zbMath1458.62200OpenAlexW2952380918MaRDI QIDQ2305246

Eric Grivel

Publication date: 10 March 2020

Full work available at URL: https://doi.org/10.1007/978-3-030-26980-7_39

zbMATH Keywords

Kullback-Leibler divergence ARMA processes Jeffreys divergence cross entropy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of information, entropy (94A17)

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