MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
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Publication:4870531
DOI10.1111/j.1467-9892.1996.tb00265.xzbMath0835.62080MaRDI QIDQ4870531
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
future; time series; information; consistent estimates; maximum entropy; spectral density; autoregressive model; parametric models; minimum mutual information; model fitting; order selection; Monte Carlo studies; past; autocovariances; Gaussian stationary sequence; Bloomfield model; LIC procedure
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10: Statistical aspects of information-theoretic topics
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Szegő's theorem and its probabilistic descendants, Conditional and Marginal Mutual Information in Gaussian and Hyperbolic Decay Time Series, Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
Cites Work