Non-Gaussian State-Space Modeling of Nonstationary Time Series
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Publication:3787329
DOI10.2307/2289375zbMath0644.62088MaRDI 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
likelihood; smoothing; nonlinear models; filtering; Akaike information criterion; state-space model; smoothness prior; robust procedures; non- Gaussian model; one-step-ahead prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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