Non-Gaussian State-Space Modeling of Nonstationary Time Series

DOI10.2307/2289375zbMath0644.62088OpenAlexW4229793772MaRDI QIDQ3787329

Publication date: 1987

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2289375

zbMATH Keywords

likelihood smoothing nonlinear models filtering Akaike information criterion state-space model smoothness prior robust procedures non- Gaussian model one-step-ahead prediction

Mathematics Subject Classification ID

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

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