A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series

DOI10.1109/TAC.1985.1103788MaRDI QIDQ3217482zbMATH OpenFDO

Authors Genshiro Kitagawa, Will Gersch

Publication date 1985

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

white noiseearthquake dataminimum AIC methoddifference equation constraintmodelling nonstationary time seriessmoothness priors time varying AR coefficient modelstate-space representation Kalman filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(28)

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• Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
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• ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
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• Fast computation of smoothing splines subject to equality constraints
• An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data
• Inference for non-stationary time-series autoregression
• Identification of time-varying systems with abrupt parameter changes
• On the Kullback-Leibler information divergence of locally stationary processes
• Signal Extraction Problems in Seismology
• Nonparametric time-variant frequency response function estimates using arbitrary excitations
• Application of regularized Savitzky-Golay filters to identification of time-varying systems
• Nonparametric factor analysis of residual time series
• A new look at the statistical identification of nonstationary systems
• Dynamic investment strategy with factor models under regime switches
• Time-varying vector autoregressive models with stochastic volatility

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