Estimation of AR and ARMA models by stochastic complexity

MaRDI QIDQ5326958zbMATH OpenFDO

Authors Ciprian Doru Giurcăneanu, Jorma Rissanen

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702765

zbMATH Keywords

Fisher informationminimum description length principleMonte Carlo techniquesnormalized maximum likelihood universal model

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cited in

(9)

• AR order selection in the case when the model parameters are estimated by forgetting factor least-squares algorithms
• On Rissanen's predictive stochastic complexity for stationary ARMA processes
• scientific article; zbMATH DE number 4200119 (Why is no real title available?)
• Computing stochastic continuous-time models from ARMA models
• scientific article; zbMATH DE number 4163901 (Why is no real title available?)
• scientific article; zbMATH DE number 29703 (Why is no real title available?)
• AR( infinity ) estimation and nonparametric stochastic complexity
• scientific article; zbMATH DE number 523925 (Why is no real title available?)
• Consistent estimation of the number of regimes in Markov-switching autoregressive models

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