Prediction Variance and Information Worth of Observations in Time Series
From MaRDI portal
Publication:2744943
DOI10.1111/1467-9892.00191zbMath0974.62074MaRDI QIDQ2744943
Ehsan S. Soofi, Mohsen Purahmadi
Publication date: 9 October 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00191
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10: Statistical aspects of information-theoretic topics
Related Items
Predictability of operational processes over finite horizon, Influence of Missing Values on the Prediction of a Stationary Time Series, Uncertainty, information, and disagreement of economic forecasters, On the sample information about parameter and prediction, Duals of random vectors and processes with applications to prediction problems with missing values, Information importance of predictors: concept, measures, Bayesian inference, and applications, Assessing influence in Gaussian long-memory models, Information indices: Unification and applications.