A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables

DOI10.1016/0304-4076(95)01774-7MaRDI QIDQ1126470zbMATH OpenOpenAlexFDO

Authors Hiroko Kato, Sadao Naniwa, Makio Ishiguro

Publication date 8 December 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(95)01774-7

zbMATH Keywords

Kalman filtermaximum likelihoodnonstationarynumerical optimizationfrequency domainsystem analysisstate space formbest fitting modelBayesian multivariate stochastic modelinformation criterion AIClatent nonstationary trendsseasonal components

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 193550 (Why is no real title available?)
• A Multivariate Time Series Analysis of Some Flour Price Data
• A multivariate stochastic model with non‐stationary trend component
• Modeling Multiple Times Series with Applications
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING

Cited in

(4)

• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
• A multivariate stochastic model with non‐stationary trend component
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• Non-stationary time series model building and application

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Uses Software

• DALL

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