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Maximum entropy models for general lag patterns
Author(s) -
Boshnakov Georgi N.,
Iqelan Bisher M.
Publication year - 2012
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.1467-9892.2011.00744.x
Subject(s) - mathematics , principle of maximum entropy , entropy (arrow of time) , maximum entropy spectral estimation , lag , maximum entropy probability distribution , statistics , statistical physics , computer science , computer network , physics , quantum mechanics
The maximum entropy problem for autocovariances given over a class of subsets of is solved. A more general problem when prediction coefficients and prediction error variances are given instead of covariances is considered and solved, as well. Two notions about maximum entropy in time series context are introduced and some misconceptions in the literature are discussed.