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ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS |
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| Authors: | Dimitris N Politis |
| Affiliation: | Purdue University |
| Abstract: | Abstract. The assumption of a linear autoregressive model for time series has often been justified on the basis of a maximum entropy principle. The purpose of this short note is to point out that the class of nonlinear autoregressions is also characterized by a maximum entropy property. |
| Keywords: | Maximum entropy nonlinear autoregressions nonlinear time series |
