Time series modelling and maximum entropy

Details Time series modelling and maximum entropy Time series modelling and maximum entropy

Aug 1976

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=1976pepi...12..188u&link_type=abstract

Physics of the Earth and Planetary Interiors, Volume 12, Issue 2-3, p. 188-200.

Physics

47

Scientific paper

This paper briefly reviews the principles of maximum entropy spectral analysis and the closely related problem of autoregressive time series modelling. The important aspect of model identification is discussed with particular emphasis on the representation of harmonic processes with noise in terms of autoregressive moving-average models. It is shown that this representation leads to a spectral estimator proposed by Pisarenko in 1973.

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