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

DOI10.1016/0304-4076(95)01774-7zbMATH Open0864.62059OpenAlexW1979731477MaRDI QIDQ1126470FDOQ1126470

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

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• scientific article; zbMATH DE number 3898059

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)

Cites Work

• Title not available (Why is that?)
• Modeling Multiple Times Series with Applications
• A multivariate stochastic model with non‐stationary trend component
• Title not available (Why is that?)
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• A Multivariate Time Series Analysis of Some Flour Price Data

Cited In (4)

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

Uses Software

• DALL

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