Maximum entropy interpretation of autoregressive spectral densities

Emanuel Parzen

Statistics & Probability Letters, 1982, vol. 1, issue 1, 7-11

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.

Keywords: Maximum entropy spectral estimators autoregressive spectral density exponential probability density entropy; cross-entropy information divergence (search for similar items in EconPapers)
Date: 1982
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