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ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
Author(s) -
Politis Dimitris N.
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00209.x
Subject(s) - mathematics , autoregressive model , principle of maximum entropy , nonlinear system , property (philosophy) , maximum entropy spectral estimation , entropy (arrow of time) , maximum entropy probability distribution , econometrics , statistics , thermodynamics , philosophy , physics , epistemology , quantum mechanics
. The assumption of a linear autoregressive model for time series has often been justified on the basis of a maximum entropy principle. The purpose of this short note is to point out that the class of nonlinear autoregressions is also characterized by a maximum entropy property.