A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER (Q3956271)
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scientific article; zbMATH DE number 3776720
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| English | A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER |
scientific article; zbMATH DE number 3776720 |
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A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER (English)
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1981
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nonstationary time series model
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recursive filter
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state space representation
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likelihood of innovation process
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seasonal adjustment
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trend estimation
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AIC
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Kalman filter
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square root smoother
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