Maximum entropy for periodically correlated processes from nonconsecutive autocovariance coefficients

.  We consider the maximum entropy extension of a partially specified autocovariance sequence of a periodically correlated process. The sequence may be specified on a non‐contiguous set. We give a method which solves the problem completely – it gives the positive definite solution when it exists and...

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Veröffentlicht in:	Journal of time series analysis 2009-09, Vol.30 (5), p.467-486
Hauptverfasser:	Boshnakov, Georgi N., Lambert-Lacroix, Sophie
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Entropy Mathematical analysis Mathematics Maximum entropy method partial autocorrelation periodically correlated processes Statistical methods Statistics Statistics Theory Stochastic processes Studies Time series
Online-Zugang:	Volltext
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