Stochastic complexity and modeling
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Publication:1081991
DOI10.1214/aos/1176350051zbMath0602.62008OpenAlexW1968908999MaRDI QIDQ1081991
Publication date: 1986
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176350051
stochastic modelingoptimal predictionmodel selection criteriacodingminimum description length criterionimproper priorsstochastic complexitynumber of parametersFisher's informationlower bound for the code lengthmaximum likelihood criterionuniversal test statistic
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Foundations and philosophical topics in statistics (62A01) Limit theorems in probability theory (60F99)
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