Inference for non-stationary time-series autoregression
DOI10.1111/JTSA.12028zbMATH Open1275.62062OpenAlexW2141571546MaRDI QIDQ2864628FDOQ2864628
Authors: Zhou Zhou 
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
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Cites Work
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- Analysis of Financial Time Series
- Title not available (Why is that?)
- Fitting time series models to nonstationary processes
- A likelihood approximation for locally stationary processes
- Gaussian approximations for non-stationary multiple time series
- SLEX Analysis of Multivariate Nonstationary Time Series
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Local linear quantile estimation for nonstationary time series
- A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
Cited In (5)
- Estimation and inference for precision matrices of nonstationary time series
- Nonparametric inference for ergodic, stationary time series
- Inference for non-stationary time series regression with or without inequality constraints
- Autoregressive approximations to nonstationary time series with inference and applications
- Prediction in Locally Stationary Time Series
Uses Software
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