Information quantity evaluation of nonlinear time series processes and applications
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Cites work
- A Dependence Metric for Possibly Nonlinear Processes
- A threshold AR(1) model
- Chaotic systems with asymmetric heavy-tailed noise: application to 3D attractors
- Elements of Information Theory
- Filtering nonlinear spatio-temporal chaos with autoregressive linear stochastic models
- scientific article; zbMATH DE number 3854103 (Why is no real title available?)
- scientific article; zbMATH DE number 3872513 (Why is no real title available?)
- scientific article; zbMATH DE number 3980216 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- Nested sub-sample search algorithm for estimation of threshold models
- Nonlinear Time Series Analysis
- On a measure of lack of fit in time series models
- On an absolute autoregressive model and skew symmetric distributions
- On the applications of divergence type measures in testing statistical hypotheses
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- On the modified skew-normal-Cauchy distribution: properties, inference and applications
- On threshold moving-average models
- Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
- Shannon entropy and mutual information for multivariate skew-elliptical distributions
- Stationary distribution of absolute autoregression
- The marginal density of a TMA(1) process
- The marginal distribution function of threshold-type processes with central symmetric innovations
- The Stationary Marginal Distribution of a Threshold AR(1) Process
Cited in
(9)- Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
- Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
- Estimating the active dimension of the dynamics in a time series based on an information criterion
- Fisher information and its extensions based on infinite mixture density functions
- Jensen-variance distance measure: a unified framework for statistical and information measures
- Cauchy kernel correntropy-based robust multi-innovation identification method for the nonlinear exponential autoregressive model in non-Gaussian environment
- Information quantity evaluation of multivariate SETAR processes of order one and applications
- Jensen-autocorrelation function for weakly stationary processes and applications
- Rényi entropy for multivariate controlled autoregressive moving average systems
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