Non-Gaussian State-Space Modeling of Nonstationary Time Series

DOI10.2307/2289375MaRDI QIDQ3787329zbMATH OpenOpenAlexFDO

Authors Genshiro Kitagawa

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

likelihoodsmoothingstate-space modelnonlinear modelsfilteringAkaike information criterionsmoothness priorrobust proceduresnon- Gaussian modelone-step-ahead prediction

Mathematics Subject Classification ID

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

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