Journal of the Korean Statistical Society

  • 제13권2호
  • /
  • Pages.87-106
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  • 1984
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  • 1226-3192(pISSN)
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  • 2005-2863(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

Rationale of the Maximum Entropy Probability Density

  • Park, B. S. (Department of Applied Statistics, Yonsei University, Seoul 120)
  • 발행 : 1984.12.01
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초록

It ${X_t}$ is a sequence of independent identically distributed normal random variables, then the conditional probability density of $X_1, X_2, \cdots, X_n$ given the first p+1 sample autocovariances converges to the maximum entropy probability density satisfying the corresponding covariance constraints as the length of the sample sequence tends to infinity. This establishes that the maximum entropy probability density and the associated Gaussian autoregressive process arise naturally as the answers of conditional limit problems.

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참고문헌

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