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

DOI10.1111/J.1467-9892.1996.TB00265.XzbMATH Open0835.62080OpenAlexW2051547465MaRDI QIDQ4870531FDOQ4870531

Authors: Lei Li, Zhongjie 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

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zbMATH Keywords

futureinformationtime seriesconsistent estimatesspectral densityautoregressive modelmaximum entropymodel fittingorder selectionparametric modelsMonte Carlo studiesautocovariancespastminimum mutual informationGaussian stationary sequenceBloomfield modelLIC procedure

Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods
• Title not available (Why is that?)
• Title not available (Why is that?)
• Canonical correlations of past and future for time series: Definitions and theory
• On estimation of the integrals of certain functions of spectral density

Cited In (9)

• On a criterion for the selection of models for stationary time series
• The weighted average information criterion for order selection in time series and regression models
• Title not available (Why is that?)
• Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model
• Mutual information model selection algorithm for time series
• Model term selection for spatio-temporal system identification using mutual information
• Conditional and marginal mutual information in Gaussian and hyperbolic decay time series
• Generalised partial autocorrelations and the mutual information between past and future
• Szegő's theorem and its probabilistic descendants

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