Article ID Journal Published Year Pages File Type
7549299 Statistics & Probability Letters 2016 11 Pages PDF
Abstract
This paper applies the Bayesian minimum message length principle to the multiple short time series problem, yielding satisfactory estimates for all model parameters as well as a test for autocorrelation. Connections with the method of conditional likelihood are also discussed.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Minimum message length analysis of multiple short time series
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