Mutual information model selection algorithm for time series

DOI10.1080/02664763.2019.1707516OpenAlexW3000588927WikidataQ126410336 ScholiaQ126410336MaRDI QIDQ5037010

Elif Akça, Ceylan Yozgatligil

Publication date: 25 February 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2019.1707516

zbMATH Keywords

mutual informationorder selectionBox-Jenkins models

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

• Model identification of ARIMA family using genetic algorithms
• Model selection and Akaike's information criterion (AIC): The general theory and its analytical extensions
• Estimating the dimension of a model
• Independent component analysis, a new concept?
• Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
• Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
• Some Notes on Mutual Information Between Past and Future
• Use of canonical analysis in time series model identification
• Recursive estimation of mixed autoregressive-moving average order
• MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
• Empirical information criteria for time series forecasting model selection
• A new look at the statistical model identification
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item