Journal article

Minimum message length analysis of multiple short time series

DF Schmidt, E Makalic

Statistics and Probability Letters | ELSEVIER SCIENCE BV | Published : 2016

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.

University of Melbourne Researchers