Accession Number:

ADA224317

Title:

Time Series, Statistics, and Information

Descriptive Note:

Corporate Author:

TEXAS A AND M UNIV COLLEGE STATION DEPT OF STATISTICS

Personal Author(s):

Report Date:

1990-06-01

Pagination or Media Count:

34.0

Abstract:

This paper is a broad survey of ideas for the future development of statistical methods of time series analysis based on investigating the many levels of relationships between time series analysis, statistical methods unification, and inverse problems with positivity constraints. It is hoped that developing these relations will help integrate old and new directions of research in time series analysis provide research tools for applied and theoretical statisticians in the 1990s and coming era of statistical information make possible unification of statistical methods and the development of Statistical Culture. New results include a new information divergence between spectral density functions. Topics discussed include 1 Traditional entropy and cross-entropy 2 Renyi and Chi-square information divergence 3 Comparison density functions 4 Approximation of positive functions density functions by minimum information divergence maximum entropy 5 Equivalence and Orthogonality of Normal Time Series 6 Asymptotic Information of Stationary Normal Time Series 7 Estimation of Finite Parameter Spectral Densities 8 Minimum information estimation of spectral densities and power index correlations 9 Tail classification of probability laws and spectral densities and 10 Sample Brownian Bridge exploratory analysis of time series.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE