Arma processes have maximal entropy among time series with prescribed autocovariances and impulse responses

Authors
Franke Jurgen
Citation
Franke Jurgen, Arma processes have maximal entropy among time series with prescribed autocovariances and impulse responses, Advances in applied probability , 17(4), 1985, pp. 810-840
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
17
Issue
4
Year of publication
1985
Pages
810 - 840
Database
ACNP
SICI code