The application of the Kalman filter to nonstationary time series through time deformation

DOI10.1111/J.1467-9892.2009.00628.XzbMath1224.62089OpenAlexW1971189352MaRDI QIDQ3077663

Zhu Wang, Wayne A. Woodward, Henry L. Gray

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00628.x

zbMATH Keywords

state spacetime-varying frequencies: time transformation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• Euler(p, q) Processes and Their Application to Non Stationary Time Series with Time Varying Frequencies
• ON A CLASS OF NONSTATIONARY PROCESSES
• Nonstationary Data Analysis by Time Deformation
• Modeling of Continuous Stochastic Processes from Discrete Observations with Application to Sunspots Data

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