Consistency of the BIC order estimator

DOI10.1090/S1079-6762-99-00070-0MaRDI QIDQ4485751zbMATH OpenOpenAlexFDO

Authors Imre Csiszár, Paul Shields

Publication date 18 June 2000

Published in Electronic Research Announcements of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/231515

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• scientific article; zbMATH DE number 3908323 (Why is no real title available?)
• scientific article; zbMATH DE number 45100 (Why is no real title available?)
• Deviations from uniformity in random strings
• Entropy and the consistent estimation of joint distributions
• Estimating the dimension of a model
• Nonparametric binary regression: A Bayesian approach
• On the choice of a model to fit data from an exponential family
• Strongly consistent code-based identification and order estimation for constrained finite-state model classes
• The consistency of the BIC Markov order estimator.
• The minimum description length principle in coding and modeling
• The performance of universal encoding

Cited in

(7)

• Rates of convergence for the BIC estimates of Markov chain order
• The consistency of the BIC Markov order estimator.
• Large-scale typicality of Markov sample paths and consistency of MDL order estimators
• A BIC-based consistent metric between Markovian processes
• A New Order Estimator for Fixed and Variable Length Markov Models with Applications to DNA Sequence Similarity
• On the minimal penalty for Markov order estimation
• Consistency of the Unlimited BIC Context Tree Estimator

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