A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables (Q1126470)
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scientific article; zbMATH DE number 955390
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| English | A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables |
scientific article; zbMATH DE number 955390 |
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A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables (English)
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8 December 1996
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nonstationary
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system analysis
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Bayesian multivariate stochastic model
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latent nonstationary trends
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seasonal components
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state space form
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maximum likelihood
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numerical optimization
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Kalman filter
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information criterion AIC
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best fitting model
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frequency domain
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0.8644633889198303
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0.7603102326393127
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0.7492783665657043
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0.7382583618164062
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