An approach to the nonstationary process analysis
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Publication:5904017
DOI10.1007/BF02491462zbMath0678.62095MaRDI QIDQ5904017
Publication date: 1987
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
algorithmnumerical examplesautoregressionnonstationary processexpected likelihoodnormal priorABIC criterionAR(M) modelone-step-ahead predictors
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
Uses Software
Cites Work