SOME DOUBLY STOCHASTIC TIME SERIES MODELS

DOI10.1111/j.1467-9892.1986.tb00485.xzbMath0588.62169OpenAlexW2062284484MaRDI QIDQ3716152

Dag Tjøstheim

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1986.tb00485.x

zbMATH Keywords

predictionnonlinear filteringMarkov chainextrapolationstate space modelsARMA modelvector stochastic processconditions for stationaritydoubly stochastic time seriesparameter process

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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• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Non-linear time series models for non-linear random vibrations
• Estimation and tests of hypotheses for the initial mean and covariance in the kalman filter model
• Autoregressive series with random parameters

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