A two-step state space time series modeling method
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Publication:1116605
DOI10.1016/0898-1221(89)90087-4zbMath0666.62085MaRDI QIDQ1116605
Publication date: 1989
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(89)90087-4
time series models; state space method; dynamic aggregation; singular value decomposition of the Hankel matrix; two step sequential procedure
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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