MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE (Q4870531): Difference between revisions

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scientific article; zbMATH DE number 857998
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MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
scientific article; zbMATH DE number 857998

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    MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE (English)
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    20 March 1996
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    parametric models
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    order selection
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    information
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    past
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    future
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    Gaussian stationary sequence
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    spectral density
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    autocovariances
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    model fitting
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    minimum mutual information
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    maximum entropy
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    consistent estimates
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    Bloomfield model
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    autoregressive model
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    Monte Carlo studies
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    LIC procedure
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    time series
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