On the Application of Algorithmic Probability to Autoregressive Models
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Publication:2868426
DOI10.1007/978-3-642-44958-1_29zbMath1407.62328MaRDI QIDQ2868426
Elias G. Saleeby, Ray J. Solomonoff
Publication date: 17 December 2013
Published in: Algorithmic Probability and Friends. Bayesian Prediction and Artificial Intelligence (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-44958-1_29
Monte Carlo method; autoregressive time series; algorithmic probability; information criteria; predictive probability; model weights
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
68Q30: Algorithmic information theory (Kolmogorov complexity, etc.)