Fisher information framework for time series modeling
نویسندگان
چکیده
منابع مشابه
Fisher Information Framework for Time Series Modeling
A robust prediction model invoking the Takens embedding theorem, whose working hypothesis is obtained via an inference procedure based on the minimum Fisher information principle, is presented. The coefficients of the ansatz, central to the working hypothesis satisfy a time independent Schrödinger-like equation in a vector setting. The inference of i) the probability density function of the coe...
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An explicit expression for the Fisher information matrix of a multiple time series process
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2017
ISSN: 0378-4371
DOI: 10.1016/j.physa.2017.02.076