Minimum message length analysis of multiple short time series

DOI10.1016/j.spl.2015.09.021zbMath1419.62248OpenAlexW1778887019MaRDI QIDQ273763

Daniel F. Schmidt, Enes Makalic

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.09.021

zbMATH Keywords

nuisance parametersBayesian inferenceapproximate conditional likelihoodGaussian autoregressive processesminimum message length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

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• A note on optimal unimodular lattices
• On testing for serial correlation in large numbers of small samples
• A time series illustration of approximate conditional likelihood
• An Information Measure for Classification
• Invariant HPD credible sets and MAP estimators

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