MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
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Publication:4870531
DOI10.1111/j.1467-9892.1996.tb00265.xzbMath0835.62080MaRDI QIDQ4870531
Publication date: 20 March 1996
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00265.x
future; time series; information; consistent estimates; maximum entropy; spectral density; autoregressive model; parametric models; minimum mutual information; model fitting; order selection; Monte Carlo studies; past; autocovariances; Gaussian stationary sequence; Bloomfield model; LIC procedure
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10: Statistical aspects of information-theoretic topics
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Mutual information model selection algorithm for time series, Szegő's theorem and its probabilistic descendants, Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series, Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
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