论文信息 - A remark on the correspondence between the maximum entropy method and the autoregressive model (Corresp.)

A remark on the correspondence between the maximum entropy method and the autoregressive model (Corresp.)

A simple probabilistic proof is given of the known fact that the AR( p )-process maximizes the entropy rate among stationary normal processes with the first p covariances given.

Mats Hamrud | Jan Grandell | Peter Toll

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