Relative entropy and covariance type constraints yielding ARMA models

Details Relative entropy and covariance type constraints yielding ARMA models Relative entropy and covariance type constraints yielding ARMA models

May 2001

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2001aipc..568..318g&link_type=abstract

BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING: 20th International Workshop. AIP Conference Proceedi

Computer Science

Information Theory

Data Analysis: Algorithms And Implementation, Data Management, Information Theory And Communication Theory

Scientific paper

We consider zero mean weakly stationary multidimensional scalar time series. We determine the form of the spectral density which minimizes a relative entropy under trigonometric moment constraints, as covariance, impulse responses or cepstral coefficients. It often yields autoregressive moving average models giving one more justification to their widespread use. .

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