Moving Average Processes and Maximum Entropy
Date
1992Author
Politis, Dimitris NicolasSource
IEEE Transactions on Information TheoryVolume
38Issue
3Pages
1174-1177Google Scholar check
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A characterization of the stochastic process that has maximum entropy among all moving average processes of order q, subject to the condition that the autocovariances γ(k) satisfy γ(k)= ck, for k = 0, 1, …, p, is provided by exploiting properties of the inverse autocovariance sequence. © 1992 IEEE