
Accession Number : ADA117263
Title : Maximum Entropy Interpretation of Autoregressive Spectral Densities.
Descriptive Note : Technical rept.,
Corporate Author : TEXAS A AND M UNIV COLLEGE STATION INST OF STATISTICS
Personal Author(s) : Parzen,Emanuel
PDF Url : ADA117263
Report Date : Jun 1982
Pagination or Media Count : 14
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, crossentropy, and information divergence are defined for probability densities and for spectral densities. (Author)
Descriptors : *Regression analysis, *Spectrum analysis, *Time series analysis, Entropy, Mathematical models, Stationary, Probability density functions, Exponential functions
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE