A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series (Q3217482)
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scientific article; zbMATH DE number 3883459
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| English | A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series |
scientific article; zbMATH DE number 3883459 |
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A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series (English)
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1985
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difference equation constraint
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white noise
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state-space representation Kalman filter
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minimum AIC method
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smoothness priors time varying AR coefficient model
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modelling nonstationary time series
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earthquake data
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0.8655779361724854
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0.784930408000946
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0.7780658006668091
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