ARMA MODELS REALIZATION AND IMPULSE RESPONSES

DOI10.1081/STM-100002275zbMath1034.62078MaRDI QIDQ2746223

Glaysar Castro, Valérie Girardin

Publication date: 2001

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

maximum entropyspectral densityimpulse responsecovariancesorder identificationauto-regressive moving average modelsstationary discrete-time process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Relative entropy and spectral constraints: some invariance properties of the ARMA class

Cites Work

• Unnamed Item
• ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses
• Recursive estimation of mixed autoregressive-moving average order
• Consistent Recursive Estimation of the Order of an Autoregressive Moving Average Process
• Moving average processes and maximum entropy

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