Abstract
The aim of this paper is to present a result that for a wide class of stationary ARMA processes Rissanen’s predictive stochastic complexity is asymptotically equal to the lower bound provided by the Rissanen’s-Shannon’s inequality almost surely. An analogous theorem is given for a more easily computable version of the predictive stochastic complexity based on the recursive estimation of the ARMA-parameters.
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© 1990 Birkhäuser Boston
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Gerencsér, L. (1990). Almost Sure Asymptotics of Rissanen’s Predictive Stochastic Complexity. In: Kaashoek, M.A., van Schuppen, J.H., Ran, A.C.M. (eds) Realization and Modelling in System Theory. Progress in Systems and Control Theory, vol 3. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-3462-3_48
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DOI: https://doi.org/10.1007/978-1-4612-3462-3_48
Publisher Name: Birkhäuser Boston
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