Inference for non-stationary time-series autoregression
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Publication:2864628
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- A likelihood approximation for locally stationary processes
- A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
- Analysis of Financial Time Series
- Fitting time series models to nonstationary processes
- Gaussian approximations for non-stationary multiple time series
- Haar–Fisz Estimation of Evolutionary Wavelet Spectra
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Local linear quantile estimation for nonstationary time series
- SLEX Analysis of Multivariate Nonstationary Time Series
Cited in
(5)- Prediction in Locally Stationary Time Series
- 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
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