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

DOI10.1111/J.1467-9892.1996.TB00265.XMaRDI QIDQ4870531zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• Canonical correlations of past and future for time series: Definitions and theory
• On estimation of the integrals of certain functions of spectral density
• Time series: theory and methods

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
• scientific article; zbMATH DE number 4098576 (Why is no real title available?)
• 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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