Prediction Variance and Information Worth of Observations in Time Series

DOI10.1111/1467-9892.00191zbMath0974.62074OpenAlexW1999404612MaRDI QIDQ2744943

Ehsan S. Soofi, Mohsen Purahmadi

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00191

zbMATH Keywords

entropymutual informationGaussian processesARMA modelsnon-Gaussian processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Related Items (8)

Predictability of operational processes over finite horizon ⋮ On the sample information about parameter and prediction ⋮ Duals of random vectors and processes with applications to prediction problems with missing values ⋮ Information importance of predictors: concept, measures, Bayesian inference, and applications ⋮ Influence of Missing Values on the Prediction of a Stationary Time Series ⋮ Assessing influence in Gaussian long-memory models ⋮ Information indices: Unification and applications. ⋮ Uncertainty, information, and disagreement of economic forecasters

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