ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS (Q4696578)

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scientific article; zbMATH DE number 221005
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ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS
scientific article; zbMATH DE number 221005

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    ESTIMATION OF THE NON-STATIONARY FACTOR IN ARUMA MODELS (English)
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    29 June 1993
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    least squares estimation
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    recursive estimation
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    white noise
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    backward shift operator
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    ARUMA process
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    nonstationary factor
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    eigenvector estimator
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    backward least squares estimation
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    simulation study
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    small sample sizes
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