01655682

j

01655682 Castro, Glaysar Girardin, Valerie Arma models realization and impulse responses. Stoch. Models 17, No. 3, 293-312 (2001). 2001 Taylor \& Francis, Philadelphia, PA EN auto-regressive moving average models covariances impulse response maximum entropy order identification spectral density stationary discrete-time process

doi:10.1081/STM-100002275

Summary: A parallel is made between the role played by covariances in the determination of auto-regressive models and the role played by impulse responses in the determination of ARMA models. Autoregressive models are known to maximize the Burg-entropy under covariance constraints. Autoregressive-moving-average models give the maximum of the Burg-entropy among processes sharing the same covariances and impulse responses up to a certain lag. Such models are constructed by iterative or algebraic methods under different constraints. A new recursive method of identification of the order of an ARMA model is also developed, based on the generalized reflection coefficients