Maximum Entropy Interpretation of Autoregressive Spectral Densities.

Abstract

A new proof is given of the maximum entropy characterization of autoregressive spectral densities as models for the spectral density of a stationary time series. The new proof is presented in parallel with a proof of the maximum entropy characterization of exponential models for probability densities. Concepts of entropy, cross-entropy, and information divergence are defined for probability densities and for spectral densities. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1982
Accession Number
ADA117263

Entities

People

  • Emanuel Parzen

Organizations

  • Texas A&M University

Tags

DTIC Thesaurus Topics

  • Data Modeling
  • Data Science
  • Discrete Distribution
  • Estimators
  • Information Science
  • Information Theory
  • New York
  • Numbers
  • Probability
  • Probability Density Functions
  • Random Variables
  • Stationary
  • Statistical Data
  • Statistical Inference
  • Statistics
  • Universities
  • White Noise

Fields of Study

  • Mathematics

Readers

  • Statistical inference.