You are not currently logged in.
Access your personal account or get JSTOR access through your library or other institution:
If You Use a Screen ReaderThis 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
Advances in Applied Probability
Vol. 22, No. 3 (Sep., 1990), pp. 612-626
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/1427460
Page Count: 15
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.
Preview not available
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.
Advances in Applied Probability © 1990 Applied Probability Trust