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Time series modelling and maximum entropy

Ulrych, Tad J. and Clayton, Rob W. (1976) Time series modelling and maximum entropy. Physics of the Earth and Planetary Interiors, 12 (2-3). pp. 188-200. ISSN 0031-9201. http://resolver.caltech.edu/CaltechAUTHORS:20121017-113347306

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Abstract

This paper briefly reviews the principles of maximum entropy spectral analysis and the closely related problem of autoregressive time series modelling. The important aspect of model identification is discussed with particular emphasis on the representation of harmonic processes with noise in terms of autoregressive moving-average models. It is shown that this representation leads to a spectral estimator proposed by Pisarenko in 1973.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1016/0031-9201(76)90047-9DOIUNSPECIFIED
http://www.sciencedirect.com/science/article/pii/0031920176900479PublisherUNSPECIFIED
Additional Information:© 1976 Elsevier Scientific Publishing Company. Accepted for publication January 5, 1976. This research has been generously supported by a grant-in-aid from the National Research Council of Canada (A1804 to T.J.U.).
Funders:
Funding AgencyGrant Number
National Research Council of Canada (NRCC)A1804
Record Number:CaltechAUTHORS:20121017-113347306
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20121017-113347306
Official Citation:Tad J. Ulrych, Rob W. Clayton, Time series modelling and maximum entropy, Physics of the Earth and Planetary Interiors, Volume 12, Issues 2–3, August 1976, Pages 188-200, ISSN 0031-9201, 10.1016/0031-9201(76)90047-9.
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:34949
Collection:CaltechAUTHORS
Deposited By: Jason Perez
Deposited On:17 Oct 2012 21:10
Last Modified:17 Oct 2012 21:10

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