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

DOI10.1007/978-3-642-44958-1_26MaRDI QIDQ2868423zbMATH OpenOpenAlexFDO

Authors Daniel F. Schmidt

Publication date 17 December 2013

Published in Algorithmic Probability and Friends. Bayesian Prediction and Artificial Intelligence (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-44958-1_26

Mathematics Subject Classification ID

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

Recommendations

• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• Minimum message length analysis of multiple short time series
• Minimum message length estimation using EM methods: a case study
• SELECTING ORDER FOR GENERAL AUTOREGRESSIVE MODELS BY MINIMUM DESCRIPTION LENGTH
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES

Cited in

(6)

• Minimum message length estimation using EM methods: a case study
• Minimum message length analysis of multiple short time series
• MLE’s Bias Pathology, Model Updated MLE, and Wallace’s Minimum Message Length Method
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• Minimum message length inference of the Poisson and geometric models using heavy-tailed prior distributions
• Bootstrap method for minimum message length autoregressive model order selection

Describes a project that uses

Uses Software

• AS 154

This page was built for publication: Minimum message length order selection and parameter estimation of moving average models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2868423)