Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

DOI10.1007/978-3-319-25826-3_14zbMath1354.60037MaRDI QIDQ2956057

Tommaso Proietti, Alessandra Luati

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/86943458/rp15_24.pdf

zbMATH Keywords

generalised autocovariances; information regularity coefficient; spectral autoregressive models

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

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