ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS

DOI10.1111/J.1467-9892.1994.TB00209.XzbMath0807.62071OpenAlexW1966266890MaRDI QIDQ4319848

Dimitris N. Politis

Publication date: 1 March 1995

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00209.x

zbMATH Keywords

maximum entropy principlenonlinear time seriesnonlinear autoregression

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Threshold models in non-linear time series analysis
• On Prediction of Moving-Average Processes
• Nonparametric maximum entropy

Related Items (1)

On the limits of probabilistic forecasting in nonlinear time series analysis II: Differential entropy

This page was built for publication: ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS