A parametric, information-theory model for predictions in time series

In this work, a method based on information theory is developed to make predictions from a sample of nonlinear time series data. Numerical examples are given to illustrate the effectiveness of the proposed method.

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Year of publication:	2014
Authors:	Martín, M.T. ; Plastino, A. ; Vampa, V. ; Judge, G.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 405.2014, C, p. 63-69
Publisher:	Elsevier
Subject:	Time series \| Information theory \| Parametric Inference

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064129