A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
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Publication:3956271
DOI10.1111/j.1467-9892.1981.tb00316.xzbMath0493.62081OpenAlexW2096587014MaRDI QIDQ3956271
Publication date: 1981
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00316.x
Kalman filterAICstate space representationseasonal adjustmenttrend estimationrecursive filternonstationary time series modellikelihood of innovation processsquare root smoother
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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