Time-varying parameter auto-regressive models for autocovariance nonstationary time series

DOI10.1007/S11425-008-0163-3MaRDI QIDQ1042928zbMATH OpenOpenAlexFDO

Authors WanChun Fei, Lun Bai

Publication date 7 December 2009

Published in Science in China. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-008-0163-3

zbMATH Keywords

time-varying parameterauto-regressive modelautocovariance nonstationary time seriesminimum AIC estimationtime-varying order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10) Modes of computation (nondeterministic, parallel, interactive, probabilistic, etc.) (68Q10)

Recommendations

• Time‐varying autoregressions with model order uncertainty
• scientific article; zbMATH DE number 4111854
• A time varying coefficient vector AR modeling of nonstationary covariance time series
• Bayesian estimation of a time varying parameter autoregression model
• NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION

Cites work

• scientific article; zbMATH DE number 3535521 (Why is no real title available?)
• scientific article; zbMATH DE number 1302951 (Why is no real title available?)
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• A procedure for the modeling of non-stationary time series
• Forecasting non-stationary time series by wavelet process modelling
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Pattern recognition of non-stationary time series with finite length
• Time-correlation analysis of nonstationary time series
• Time‐varying autoregressions with model order uncertainty

Cited in

(7)

• A simulation method for finite non-stationary time series
• scientific article; zbMATH DE number 5736245 (Why is no real title available?)
• A time-series modeling method based on the boosting gradient-descent theory
• Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
• A tv-IVAR model for multivariate irregular time series
• A Gini autocovariance function for time series modelling
• Time‐varying autoregressions with model order uncertainty

This page was built for publication: Time-varying parameter auto-regressive models for autocovariance nonstationary time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1042928)