Information theoretic results for stationary time series and the Gaussian-generalized von Mises time series
平稳时间序列的信息论结果与高斯广义 von Mises 时间序列
This chapter presents some novel information theoretic results for the analysis of stationary time series in the frequency domain. In particular, the spectral distribution that corresponds to the most uncertain or unpredictable time series with some values of the autocovariance function fixed, is the generalized von Mises spectral distribution. It is thus a maximum entropy spectral distribution and the corresponding stationary time series is called the generalized von Mises…