ARMA Processes Have Maximal Entropy among Time Series with Prescribed Autocovariances and Impulse Responses. Franke, J. Advances in Applied Probability, 17(4):810–840, December, 1985. See correction i̧teAnonymous:1986:CAP.
Paper doi bibtex @Article{Franke:1985:APM,
author = "J{\"u}rgen Franke",
title = "{ARMA} Processes Have Maximal Entropy among Time
Series with Prescribed Autocovariances and Impulse
Responses",
journal = j-ADV-APPL-PROB,
volume = "17",
number = "4",
pages = "810--840",
month = dec,
year = "1985",
CODEN = "AAPBBD",
DOI = "https://doi.org/10.2307/1427089",
ISSN = "0001-8678 (print), 1475-6064 (electronic)",
ISSN-L = "0001-8678",
bibdate = "Sat May 3 07:41:46 MDT 2014",
bibsource = "http://www.jstor.org/stable/i262268;
http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
note = "See correction \cite{Anonymous:1986:CAP}.",
URL = "http://www.jstor.org/stable/1427089",
acknowledgement = ack-nhfb,
ajournal = "Adv. Appl. Probab.",
fjournal = "Advances in Applied Probability",
journal-URL = "http://www.jstor.org/journals/00018678.html",
}
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