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, cross-entropy, 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