Conditional Information in Projections of Gaussian Vectors

DOI10.1080/03610920802204508MaRDI QIDQ3622051zbMATH OpenOpenAlexFDO

Authors Patrick Marsh

Publication date 23 April 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802204508

zbMATH Keywords

autoregressionmoving averageregression

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The role of information in nonstationary regression
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Cites work

• Finite sample power of linear regression autocorrelation tests
• Information, ancillarity, and sufficiency in the presence of nuisance parameters
• Integration Versus Trend Stationary in Time Series
• Orthogonality and transformations in variance components models
• The available information for invariant tests of a unit root
• Time Series Regression with a Unit Root

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