ARMA models, prewhitening, and minimum cross entropy

DOI10.1109/78.193217zbMath0766.62057OpenAlexW2053676339MaRDI QIDQ4036252

Dimitris N. Politis

Publication date: 16 May 1993

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.193217

zbMATH Keywords

spectral estimationFourier coefficientsasymptotic consistencyspectral densityARMA modelsstationary time seriesprewhiteningsample autocovariancesminimum cross entropy spectral analysisposterior spectral densityprior spectral density

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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

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