Stabilization of smoothness priors time-varying autoregressive models (Q5926340)
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scientific article; zbMATH DE number 1571023
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stabilization of smoothness priors time-varying autoregressive models |
scientific article; zbMATH DE number 1571023 |
Statements
Stabilization of smoothness priors time-varying autoregressive models (English)
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8 January 2002
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The authors propose a stabilization method in which the deterministic regression smoothness priors scheme is augmented with nonlinear stability constraints. The problem is solved iteratively with an exterior point algorithm. The performance of the algorithm is studied with simulation.
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time-varying autoregressive processes
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constrained optimization
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smoothness priors
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nonlinear stability constraints
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exterior point algorithm
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