Published August 1976
| public
Journal Article
Time series modelling and maximum entropy
- Creators
- Ulrych, Tad J.
-
Clayton, Rob W.
Chicago
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Abstract
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.).Additional details
- Eprint ID
- 34949
- Resolver ID
- CaltechAUTHORS:20121017-113347306
- National Research Council of Canada (NRCC)
- A1804
- Created
-
2012-10-17Created from EPrint's datestamp field
- Updated
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2021-11-09Created from EPrint's last_modified field
- Caltech groups
- Seismological Laboratory, Division of Geological and Planetary Sciences (GPS)