Entropy maximization principle and selection of the order of an autoregressive Gaussian process
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Publication:1143081
DOI10.1007/BF02480217zbMath0441.62008MaRDI QIDQ1143081
Publication date: 1978
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Akaike information criterionKullback-Leibler informationAICentropy maximization principleselection of order of autoregressive Gaussian process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Statistical aspects of information-theoretic topics (62B10)
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