A time varying coefficient vector AR modeling of nonstationary covariance time series

DOI10.1016/0165-1684(93)90129-XMaRDI QIDQ1314568zbMATH OpenFDO

Authors Xing-Qi Jiang, Genshiro Kitagawa

Publication date 16 June 1994

Published in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1684(93)90129-X

zbMATH Keywords

AICautocovariance functionBayesian smoothness priorscovariance nonstationary vector- valued time seriescross- covariance functiondifference equationearthquake dataGaussian white noiseKalman filtersimulation studystate space modeltime varying coefficientstime varying noise contributiontime varying spectrumVAR modelvector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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