Conditional and marginal mutual information in Gaussian and hyperbolic decay time series

DOI10.1111/JTSA.12199MaRDI QIDQ2830684zbMATH OpenOpenAlexFDO

Authors Gordon 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

entropymutual informationlong memoryrelative entropypredictabilityhyperbolic decay

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• Conditional Information in Projections of Gaussian Vectors
• Hyperbolic Decay Time Series
• An informatic approach to a long memory stationary process
• Generalised partial autocorrelations and the mutual information between past and future

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