Minimum message length analysis of multiple short time series

DOI10.1016/J.SPL.2015.09.021MaRDI QIDQ273763zbMATH OpenOpenAlexFDO

Authors Daniel F. Schmidt, Enes Makalic

Publication date 22 April 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.09.021

zbMATH Keywords

Bayesian inferencenuisance parametersapproximate conditional likelihoodGaussian autoregressive processesminimum message length

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Minimum message length order selection and parameter estimation of moving average models
• scientific article; zbMATH DE number 2188025
• Minimum message length analysis of the Behrens-Fisher problem
• Minimum message length inference of the Poisson and geometric models using heavy-tailed prior distributions
• Minimum message length estimation using EM methods: a case study

Cites work

• scientific article; zbMATH DE number 4066122 (Why is no real title available?)
• scientific article; zbMATH DE number 2188025 (Why is no real title available?)
• A note on optimal unimodular lattices
• A time series illustration of approximate conditional likelihood
• An Information Measure for Classification
• Invariant HPD credible sets and MAP estimators
• On testing for serial correlation in large numbers of small samples

Cited in

(1)

• Minimum message length order selection and parameter estimation of moving average models

This page was built for publication: Minimum message length analysis of multiple short time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q273763)