Kalman filter estimation for a regression model with locally stationary errors

DOI10.1016/J.CSDA.2013.01.005zbMATH Open1348.62133OpenAlexW2019439977MaRDI QIDQ333738FDOQ333738

Authors: Guillermo Ferreira, Alejandro Rodríguez, Bernardo M. Lagos 

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

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zbMATH Keywords

local stationaritylong-range dependencenon-stationarityestimation of the statestate space systemtime-varying models

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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