A time varying coefficient vector AR modeling of nonstationary covariance time series (Q1314568)
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scientific article; zbMATH DE number 503523
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A time varying coefficient vector AR modeling of nonstationary covariance time series |
scientific article; zbMATH DE number 503523 |
Statements
A time varying coefficient vector AR modeling of nonstationary covariance time series (English)
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16 June 1994
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vector autoregressive model
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AIC
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state space model
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autocovariance function
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time varying coefficients
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covariance nonstationary vector- valued time series
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Bayesian smoothness priors
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difference equation
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Gaussian white noise
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Kalman filter
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VAR model
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simulation study
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cross- covariance function
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time varying spectrum
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time varying noise contribution
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earthquake data
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0.8655779361724854
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0.7956438064575195
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0.785325825214386
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