Time-varying parameters prediction

DOI10.1023/A:1004189000171zbMATH Open1064.62567OpenAlexW2015906000MaRDI QIDQ1585874FDOQ1585874

Authors: Carlo Grillenzoni 

Publication date: 8 January 2003

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1004189000171

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zbMATH Keywords

extended Kalman filterrecursive least squarestime-varying parameter modelsConditional least squaresIBM stock price series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cited In (9)

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• Forecasting non-stationary time series by wavelet process modelling
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• Adaptive methods for financial decisions
• On the forecasting abilities of a time varying autoadapting algorithm
• Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes
• The Role of Linear Recursive Estimators in Time Series Forecasting
• Optimized adaptive prediction
• Modeling of time series with batch and recursive methods. Development of adaptive estimators and predictors

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