scientific article; zbMATH DE number 4020272

MaRDI QIDQ3763447zbMATH OpenFDO

Authors Duk bin Jun

Publication date 1987

zbMATH Keywords

Kalman filterpredictionrandom walkforecastingestimationtime series modelslikelihood ratioARMA processfirst order autoregressive processlevel change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(1)

• Time series forecasting model based on weighted variable structure

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