ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
Date
1994Author
Politis, Dimitris NicolasSource
Journal of Time Series AnalysisVolume
15Issue
5Pages
541-543Google Scholar check
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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. Copyright © 1994, Wiley Blackwell. All rights reserved