Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

DOI10.1007/978-3-319-25826-3_14zbMath1354.60037OpenAlexW2142751817MaRDI QIDQ2956057

Tommaso Proietti, Alessandra Luati

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/86943458/rp15_24.pdf

zbMATH Keywords

generalised autocovariancesinformation regularity coefficientspectral autoregressive models

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Mutual information model selection algorithm for time series ⋮ Discussion of ``The class of CUB models: statistical foundations, inferential issues and empirical evidence

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