Information Theoretic Optimality of Observation Driven Time Series Models

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages33
Publication statusPublished - 2014

Publication series

NameTI Discussion Paper
No.14-046/III

Cite this

Blasques, F., Koopman, S. J., & Lucas, A. (2014). Information Theoretic Optimality of Observation Driven Time Series Models. (TI Discussion Paper; No. 14-046/III). Amsterdam: Tinbergen Institute.
Blasques, F. ; Koopman, S.J. ; Lucas, A. / Information Theoretic Optimality of Observation Driven Time Series Models. Amsterdam : Tinbergen Institute, 2014. (TI Discussion Paper; 14-046/III).
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year = "2014",
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Blasques, F, Koopman, SJ & Lucas, A 2014 'Information Theoretic Optimality of Observation Driven Time Series Models' TI Discussion Paper, no. 14-046/III, Tinbergen Institute, Amsterdam.

Information Theoretic Optimality of Observation Driven Time Series Models. / Blasques, F.; Koopman, S.J.; Lucas, A.

Amsterdam : Tinbergen Institute, 2014. (TI Discussion Paper; No. 14-046/III).

Research output: Working paperProfessional

TY - UNPB

T1 - Information Theoretic Optimality of Observation Driven Time Series Models

AU - Blasques, F.

AU - Koopman, S.J.

AU - Lucas, A.

PY - 2014

Y1 - 2014

M3 - Working paper

T3 - TI Discussion Paper

BT - Information Theoretic Optimality of Observation Driven Time Series Models

PB - Tinbergen Institute

CY - Amsterdam

ER -

Blasques F, Koopman SJ, Lucas A. Information Theoretic Optimality of Observation Driven Time Series Models. Amsterdam: Tinbergen Institute. 2014. (TI Discussion Paper; 14-046/III).