The t-information and its use in multivariate problems and time-series analysis

DOI10.1016/J.JSPI.2009.05.028MaRDI QIDQ840727zbMATH OpenOpenAlexFDO

Authors Zdeněk Fabián

Publication date 14 September 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.05.028

zbMATH Keywords

\(t\)-scorecorrelationregressionscalar inference functionspectral density

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• On the time-dependent Fisher information of a density function
• The second-order Fisher information
• Geometrical properties of t-distribution
• Information and entropy of continuous random variables
• scientific article; zbMATH DE number 218666

Cites work

• A Primer on Statistical Distributions
• INDUCED CORES AND THEIR USE IN ROBUST PARAMETRIC ESTIMATION
• New Measures of Central Tendency and Variability of Continuous Distributions
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

Cited in

(1)

• The information matrix of multiple-input single-output time series models

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