Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series

DOI10.1111/jtsa.12199zbMath1403.62157OpenAlexW2498226241MaRDI QIDQ2830684

Gordon V. Chavez

Publication date: 28 October 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12199

zbMATH Keywords

entropyrelative entropymutual informationlong memorypredictabilityhyperbolic decay

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• A new class of non-Shannon-type inequalities for entropies
• A practical computational framework for the multidimensional moment-constrained maximum entropy principle
• Some Notes on Mutual Information Between Past and Future
• Hyperbolic Decay Time Series
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE

This page was built for publication: Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series