MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE

DOI10.1111/j.1467-9892.1996.tb00265.xzbMath0835.62080OpenAlexW2051547465MaRDI QIDQ4870531

Lei Li, Zhong-Jie Xie

Publication date: 20 March 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00265.x

zbMATH Keywords

futuretime seriesinformationconsistent estimatesmaximum entropyspectral densityautoregressive modelparametric modelsminimum mutual informationmodel fittingorder selectionMonte Carlo studiespastautocovariancesGaussian stationary sequenceBloomfield modelLIC procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Mutual information model selection algorithm for time series ⋮ Generalised Partial Autocorrelations and the Mutual Information Between Past and Future ⋮ Szegő's theorem and its probabilistic descendants ⋮ Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series

Cites Work

• Unnamed Item
• Unnamed Item
• Canonical correlations of past and future for time series: Definitions and theory
• Time series: theory and methods
• On estimation of the integrals of certain functions of spectral density

This page was built for publication: MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE