Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53769#.VNHXMyzQrzE Author(s) Aladdin Shamilov 1 , Cigdem Giriftinoglu 1,2 Affiliation(s) 1 Department of Statistics Anadolu University, Eskisehir, Turkey . 2 Department of Economics, University of Illinois, Urbana-Champaign, USA . ABSTRACT In this study, by starting from Maximum entropy (MaxEnt) distribution of time series, we introduce a measure that quantifies information worth of a set of autocovariances. The information worth of autocovariences is measured in terms of entropy difference of MaxEnt distributions subject to different autocovariance sets due to the fact that the information discrepancy between two distributions is measured in terms of their entropy difference in MaxEnt modeling. However, MinMaxEnt distributions (models) are obtained on the basis of MaxEnt distributions dependent on parameters according to autocovariances for t...
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