Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

DOI10.1111/j.1467-9892.2009.00619.xzbMath1224.62049OpenAlexW2163942193MaRDI QIDQ3077658

Georgi N. Boshnakov, Sophie Lambert-Lacroix

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00619.x

zbMATH Keywords

partial autocorrelationspecification of models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items

Entropy-based wavelet de-noising method for time series analysis ⋮ Maximum entropy models for general lag patterns ⋮ A periodic Levinson-Durbin algorithm for entropy maximization

Uses Software

• R
• pcme

Cites Work

• Unnamed Item
• On periodic and multiple autoregressions
• On periodic autoregressive processes estimation
• Spectral estimation from nonconsecutive data
• On the maximum entropy problem with autocorrelations specified on a lattice
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes

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