A new approach to the problem of estimating spectral parameters of non- stationary time series models

DOI10.1016/0771-050X(79)90008-1zbMath0406.62069MaRDI QIDQ1257753

N. A. Abd Rabbo

Publication date: 1979

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Time SeriesEstimating Spectral ParametersModified Frequency Domain ApproachModified Weighted Least SquareNon- Stationary Autoregressive Models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• A New Method for Estimating Spectral Parameters of a Stationary Regular Time Series
• Maximum likelihood identification of Gaussian autoregressive moving average models
• The estimation of autoregressive, moving average and mixed autoregressive moving average systems with time-dependent parameters of non-stationary time series

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