Signal extraction and knowledge discovery based on statistical modeling

DOI10.1016/j.tcs.2006.07.045zbMath1113.62005OpenAlexW2127987286MaRDI QIDQ860830

Genshiro Kitagawa

Publication date: 9 January 2007

Published in: Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.tcs.2006.07.045

zbMATH Keywords

GICtime seriesstate-space modelseismologyAICseasonal adjustmentsignal extractioninformation criteriastatistical modelingsequential Monte Carlo filteringEICexchange rate dataextraction of seismic wavesTIC

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Seismology (including tsunami modeling), earthquakes (86A15) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• Modeling by shortest data description
• Estimating the dimension of a model
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• Bootstrapping log likelihood and EIC, an extension of AIC
• Asymptotic theory for information criteria in model selection -- functional approach
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Generalised information criteria in model selection
• Statistical mechanics of low-density parity-check codes
• Statistical-mechanical approach to image processing
• Signal Extraction Problems in Seismology
• Nonlinear Bayesian estimation using Gaussian sum approximations

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