An approach to the nonstationary process analysis (Q5904017): Difference between revisions
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Latest revision as of 10:20, 20 June 2024
scientific article; zbMATH DE number 4111867
Language | Label | Description | Also known as |
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English | An approach to the nonstationary process analysis |
scientific article; zbMATH DE number 4111867 |
Statements
An approach to the nonstationary process analysis (English)
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1987
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The author develops a procedure for estimating the spectral density of a nonstationary process. The procedure first divides the data into P blocks of equal length. Next an AR(M) model is fitted to each block with the restriction that the first difference between one-step-ahead predictors for adjacent blocks be \(N(0,\sigma^ 2/\eta^ 2)\). A normal prior is assigned to the AR parameter in blocks 2 to P and the expected likelihood given the AR parameters in block I is maximized. The ABIC criterion is then used to choose \(\eta\) and the order of autoregression in block 1. Finally, the spectrum is computed from this fitted model on a block by block basis. An algorithm and numerical examples are given.
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nonstationary process
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AR(M) model
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one-step-ahead predictors
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normal prior
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expected likelihood
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ABIC criterion
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autoregression
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algorithm
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numerical examples
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