• DocumentCode
    3449897
  • Title

    Asymptotics of Rissanen´s predictive stochastic complexity: from parametric to nonparametric models

  • Author

    Gerencsér, Laázló

  • Author_Institution
    Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
  • fYear
    1989
  • fDate
    13-15 Dec 1989
  • Firstpage
    1210
  • Abstract
    It is shown that for a wide class of stationary ARMA processes J. Rissanen´s predictive stochastic complexity (1986) is asymptotically equal to the lower bound provided by the Rissanen-Shannon inequality almost surely. An analogous theorem is proved for a more easily computable version of the predictive stochastic complexity based on the recursive estimation of the ARMA parameters
  • Keywords
    parameter estimation; statistical analysis; stochastic processes; time series; asymptotics; lower bound; nonparametric models; predictive stochastic complexity; recursive parameter estimation; stationary ARMA processes; Automation; Cost function; Difference equations; Polynomials; Predictive models; Recursive estimation; Stochastic processes; Stochastic resonance;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
  • Conference_Location
    Tampa, FL
  • Type

    conf

  • DOI
    10.1109/CDC.1989.70326
  • Filename
    70326
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3449897