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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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.
|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.).|
|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.|
|Deposited By:||Jason Perez|
|Deposited On:||17 Oct 2012 21:10|
|Last Modified:||17 Oct 2012 21:10|
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