ARMA processes have maximal entropy among time series with prescribed autocovariances and impulse responses

DOI10.2307/1427089zbMath0599.62107OpenAlexW2321386475MaRDI QIDQ3734925

Jürgen Franke

Publication date: 1985

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427089

zbMATH Keywords

impulse responseARMAmaximal entropyautocovariancesmixed autoregressive-moving-average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING ⋮ Relative entropy and spectral constraints: some invariance properties of the ARMA class ⋮ ARMA MODELS REALIZATION AND IMPULSE RESPONSES

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