Abstract
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. © 2011 Blackwell Publishing Ltd.
Original language | English |
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Pages (from-to) | 112-120 |
Number of pages | 8 |
Journal | Journal of Time Series Analysis |
Volume | 33 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jan 2012 |
Keywords
- Maximum entropy
- Non-Gaussian
- Time series