ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS

Dimitris N. Politis

Journal of Time Series Analysis, 1994, vol. 15, issue 5, 541-543

Abstract: Abstract. 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.

Date: 1994
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