A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
DOI10.1109/TAC.1985.1103788zbMATH Open0554.62079MaRDI QIDQ3217482FDOQ3217482
Authors: Genshiro Kitagawa, Will Gersch 
Publication date: 1985
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
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white noiseearthquake dataminimum AIC methoddifference equation constraintmodelling nonstationary time seriessmoothness priors time varying AR coefficient modelstate-space representation Kalman filter
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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- Tracking randomly varying parameters: Analysis of a standard algorithm
- ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
- Nonparametric input estimation in physiological systems: Problems, methods, and case studies
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- Inference for non-stationary time-series autoregression
- Identification of time-varying systems with abrupt parameter changes
- Application of regularized Savitzky-Golay filters to identification of time-varying systems
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- Nonparametric specification for non-stationary time series regression
- An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data
- Fitting time series models to nonstationary processes
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