Volume 14, Issue 5, September 1978, Pages 465–471

Paper

Modeling by shortest data description

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Abstract

The number of digits it takes to write down an observed sequence x1, …, xN of a time series depends on the model with its parameters that one assumes to have generated the observed data. Accordingly, by finding the model which minimizes the description length one obtains estimates of both the integer-valued structure parameters and the real-valued system parameters.

Keywords

  • Modeling;
  • parameter estimation;
  • identification;
  • statistics;
  • stochastic systems

The original version of this paper was not presented at any IFAC meeting. This paper was recommended for publication in revised form by associate editor K. J. Åström.