Skip to main content
SpringerLink
Log in

Predictive and nonpredictive minimum description length principles

  • Conference paper
  • First Online:
Time Series and Linear Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 86))

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Abramson, N. (1968), Information Theory and Coding. McGraw-Hill, New York.

    Google Scholar 

  • Akaike, H. (1974), "A New Look at the Statistical Model Identification", IEEE Trans. AC-19, 716–723.

    Google Scholar 

  • Akaike, H. (1975), "Markovian Representation of Stochastic Processes by Canonical Variables", SIAM J. Control, 13.

    Google Scholar 

  • Bittanti, S. (1983), "Is the Prediction Error of a Regression Model White?", J. Franklin Inst. Vol. 315, No. 4, 239–246.

    Google Scholar 

  • Chaitin, G.J. (1975), "A Theory of Program Size Formally Identical to Information Theory" J.A.C.M, 22, 329–340.

    Google Scholar 

  • Clark, J.M.C. "The Consistent Selection of Local Coordinates in Linear Systems Identification", JACC, Purdue University, Lafayette, Indiana, pp. 576–580, July 1976.

    Google Scholar 

  • Dawid, A.P. (1984), "Present Position and Potential Developments: Some Personal Views, Statistical Theory, The Prequential Approach", J. Royal Stat. Soc. Series A, Vol. 147, Part 2, 278–292.

    Google Scholar 

  • Geisser, S. and Eddy, W. (1979), "A Predictive Approach to Model Selection", J. American Stat. Ass., Vol. 74, Nr. 365, 153–160.

    Google Scholar 

  • Glover, K. and Willems, J.C. (1974), "Parameterizations of Linear Dynamical Systems: Canonical Forms and Identifiability", IEEE Trans. AC-19, no. 6.

    Google Scholar 

  • Hannan, E.J. (1980), "The Estimation of the Order of an ARMA Process", Ann. Stat. 8, No. 5, 1071–1081.

    Google Scholar 

  • Hjorth, U. (1982), "Model Selection and Forward Validation", Scand. J. Stat. 9, 95–105.

    Google Scholar 

  • Kailath, T., Morf, M., Sidhu, G.S. (1974), "Some New Algorithms for Recursive Estimation in Constant Discrete-Time Linear Systems", IEEE Tr. Automatic Control, Vol. AC-19, 315–323.

    Google Scholar 

  • Kalman, R.E. (1974), "Algebraic Geometric Description of the Class of Linear Systems of Constant Dimension", 8'th Ann. Princeton Conf. on Inf. Sciences and Systems, Princeton, New Jersey.

    Google Scholar 

  • Kolmogorov, A.N. (1965), "Three Approaches to the Quantitative Definition of Information", Problems of Information Transmission 1, 4–7.

    Google Scholar 

  • Lindquist, A. (1974), "A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes", SIAM J. Control 4, 736–747.

    Google Scholar 

  • Ljung, L. and Rissanen, J. (1976) "On Canonical Forms, Parameter Identifiability and the Concept of Complexity", IFAC Symp. on Identification, Tbilisi, USSR.

    Google Scholar 

  • Luenberger, D.G. (1974), "Canonical Forms for Linear Multivariable Systems", IEEE Trans. AC-12, 290–293.

    Google Scholar 

  • Popov, V.M. (1972), "Invariant Description of Linear, Time-Invariant Controllable Systems", SIAM J. Control, 10, 254–264.

    Google Scholar 

  • Rissanen, J. (1967), "An algebraic approach to the problems of linear prediction and identification", IBM Res. Rep. RJ468, Oct. 23.

    Google Scholar 

  • Rissanen, J. (1973), "Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials", Mathematics of Computation, Vol. 27, 147–154.

    Google Scholar 

  • Rissanen, J. (1974), "Basis of Invariants and Canonical Forms for Linear Dynamic Systems", Automatica, Vol. 10, pp.175–182.

    Google Scholar 

  • Rissanen, J. (1975), "Canonical Markovian Representations and Linear Prediction", Proc. of the 6'th IFAC Symposium, Part 1, Paper 29.3, 1–9.

    Google Scholar 

  • Rissanen, J. (1978), "Modeling by shortest data description", Automatica, Vol. 14, pp. 465–471.

    Google Scholar 

  • Rissanen, J. (1983a), "A Universal Prior for Integers and Estimation by Minimum Description Length", Ann. of Statistics, Vol. 11, No. 2, 416–431.

    Google Scholar 

  • Rissanen, J. (1983b), "Estimation of Structure by Minimum Description Length", Circuits, Systems, and Signal Processing, special issue on Rational Approximations, Vol. 1, Nr. 3–4, 395–406.

    Google Scholar 

  • Rissanen, J. (1984a), "Universal Coding, Information, Prediction, and Estimation", IEEE Trans. Inf. Theory, Vol. IT-30, Nr. 4, 629–636.

    Google Scholar 

  • Rissanen, J. (1984b), "Stochastic Complexity and Modeling", (to appear in Ann. of Statistics).

    Google Scholar 

  • Rissanen, J. (1984c), "Order Estimation by Accumulated Prediction Errors", Esseys in Time Series and Allied Processes (eds. J. Gani, M.B. Priestley).

    Google Scholar 

  • Rissanen, J. (1985a), "Minimum Description Length Principle", Encyclopedia of Statistical Sciences, Vol. V, (S. Kotz & N.L. Johnson eds.), pp. 523–527. John Wiley and Sons, New York.

    Google Scholar 

  • Rissanen, J. (1985b), "A Predictive Least Squares Principle", (to appear).

    Google Scholar 

  • Rissanen, J. and Ljung, L. (1975), "Estimation of Optimum Structures and Parameters for Linear Systems", Proc. CNR. CISM Symp. on Algebraic System Theory, Udine, Math. System Theory 131, Springer-Verlag, pp. 76–91.

    Google Scholar 

  • Rissanen, J. and Wertz, V. (1985), "Structure Estimation by Accumulated Prediction Error Criterion", Eighth IFAC Symposium on Identification and System Parameter Estimation, York, England.

    Google Scholar 

  • Schwarz, G. (1978), "Estimating the Dimension of a Model", Ann. Statist. 6, 461–464.

    Google Scholar 

  • Shibata, R. (1976), "Selection of the Order of an Autoregressive Model by Akaike's Information Criterion", Biometrica, 63, 1, 117–126.

    Google Scholar 

  • Solomonoff, R.J. (1964), "A Formal Theory of Inductive Inference". Part I, Information and Control 7, 1–22; Part II, Information and Control 7, 224–254.

    Google Scholar 

  • Stone, M. (1977), "An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaike's Criterion", J. Royal Stat. Soc., Ser. B, 39, 44–47.

    Google Scholar 

  • van Overbeek, A.J.M. and Ljung, L. (1982), "On Line Structure Selection for Multivariable State Space Models", Automatica, vol.18, no. 5, 529–543.

    Google Scholar 

  • Wax, M. (1985), "Order Selection for AR Models by Predictive Least Squares", (to appear)

    Google Scholar 

  • Wertz, V. (1982), Structure Selection for the Identification of Multivariate Processes, Dr. Sci. Appl. thesis, Universite Catholique de Louvain, Louvain-La-Neuve.

    Google Scholar 

  • Wertz, V., Gevers, M., Hannan, E.J. (1982), "The Determination of Optimum Structures for the State Space Representation of Multivariable Stochastic Processes", IEEE Trans. Autom. Control., Vol. AC-27, No.6, 1200–1211.

    Google Scholar 

Download references

Authors
  1. Jorma Rissanen
    View author publications

    You can also search for this author in PubMed Google Scholar

Editor information

Sergio Bittanti

Rights and permissions

Reprints and permissions

Copyright information

© 1986 Springer-Verlag

About this paper

Cite this paper

Rissanen, J. (1986). Predictive and nonpredictive minimum description length principles. In: Bittanti, S. (eds) Time Series and Linear Systems. Lecture Notes in Control and Information Sciences, vol 86. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0043802

Download citation

  • DOI: https://doi.org/10.1007/BFb0043802

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-16903-1

  • Online ISBN: 978-3-540-47155-4

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics

Search

Navigation