Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

On the Maximal Entropy Property for ARMA Processes and ARMA Approximation

Dawei Huang
Advances in Applied Probability
Vol. 22, No. 3 (Sep., 1990), pp. 612-626
DOI: 10.2307/1427460
Stable URL: http://www.jstor.org/stable/1427460
Page Count: 15
  • Read Online (Free)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
On the Maximal Entropy Property for ARMA Processes and ARMA Approximation
Preview not available

Abstract

The existence and properties of a general ARMA (p,q) process, whose autocovariances, up to lag p, and impulse coefficients, up to lag q, coincide with some given values, are shown. A closed-form solution is obtained. Based on this, the maximal entropy property for ARMA process and the relation and difference between ARMA maximal entropy approximation and extended Padé approximation are discussed. This method may be used for the design of digital filters and for ARMA spectral estimation.

Page Thumbnails

  • Thumbnail: Page 
612
    612
  • Thumbnail: Page 
613
    613
  • Thumbnail: Page 
614
    614
  • Thumbnail: Page 
615
    615
  • Thumbnail: Page 
616
    616
  • Thumbnail: Page 
617
    617
  • Thumbnail: Page 
618
    618
  • Thumbnail: Page 
619
    619
  • Thumbnail: Page 
620
    620
  • Thumbnail: Page 
621
    621
  • Thumbnail: Page 
622
    622
  • Thumbnail: Page 
623
    623
  • Thumbnail: Page 
624
    624
  • Thumbnail: Page 
625
    625
  • Thumbnail: Page 
626
    626