Entropy maximization principle and selection of the order of an autoregressive Gaussian process

DOI10.1007/BF02480217zbMath0441.62008MaRDI QIDQ1143081

Ryoichi Shimizu

Publication date: 1978

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

Akaike information criterionKullback-Leibler informationAICentropy maximization principleselection of order of autoregressive Gaussian process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

Cites Work

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• Statistical predictor identification
• Selection of the order of an autoregressive model by Akaike's information criterion
• A new look at the statistical model identification

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