Inference for non-stationary time-series autoregression
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Publication:2864628
DOI10.1111/jtsa.12028zbMath1275.62062MaRDI QIDQ2864628
Publication date: 26 November 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12028
Gaussian approximation; locally stationary approximation; simultaneous confidence tubes; time-varying AR models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F25: Parametric tolerance and confidence regions
62M09: Non-Markovian processes: estimation
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