This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 523
Type: Contributed
Date/Time: Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract - #308762
Title: Maximum Entropy Spectral Analysis to Time Series with Missing Value
Author(s): Aladdin Shamilov and Cigdem Giriftinoglu*+
Companies: Anadolu University and Anadolu University
Address: Anadolu University Faculty of Science , Eskisehir, 26470, Turkey
Keywords: Maximum entropy spectral analysis ; MinMaxEnt distribution ; Time series ; Missing value ; Power spectrum ; MinMaxEnt Spectral Analysis

Maximum entropy formalism enables us to obtain a distribution for a time series when the knowledge is given as the expected values of the autocovariance up to a lag m. Although the autocovariance functions and spectral density function form a Fourier transform pair, Power Spectrum cannot be exactly obtained since only a limited number of autocovariances are available. Therefore, the principle of maximum entropy can be used to extract the best estimate of power spectrum. In this study, in order to obtain Maximum Entropy distribution and spectral density function, a process determined by values of Lagrange multipliers is presented for a stationary time series. Moreover, when the missing value is appeared in time series, power spectrum is calculated by means of a new estimation method based on MinMaxEnt Distribution.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program

2010 JSM Online Program Home

For information, contact or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.