Kalman filter estimation for a regression model with locally stationary errors

DOI10.1016/j.csda.2013.01.005zbMath1348.62133MaRDI QIDQ333738

Mohammad Hasan, M. Dambrine

Publication date: 31 October 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/129415

zbMATH Keywords

long-range dependence; local stationarity; state space system; non-stationarity; estimation of the state; time-varying models

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)