On the Application of Algorithmic Probability to Autoregressive Models

DOI10.1007/978-3-642-44958-1_29MaRDI QIDQ2868426zbMATH OpenOpenAlexFDO

Authors Ray J. Solomonoff, Elias G. Saleeby

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_29

zbMATH Keywords

algorithmic probabilityautoregressive time seriesinformation criteriamodel weightsMonte Carlo methodpredictive probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Algorithmic information theory (Kolmogorov complexity, etc.) (68Q30)

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Cited in

(3)

• On intersection volumes of confidence hyper-ellipsoids and two geometric Monte Carlo methods
• On the sample-mean method for computing hyper-volumes
• Algorithmic Probability: Theory and Applications

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