Order Estimation and Discrimination Between Stationary and Time-Varying (TVAR) Autoregressive Models

DOI10.1109/TSP.2007.893966zbMATH Open1391.62162MaRDI QIDQ4564648FDOQ4564648

Authors: Yuri I. Abramovich, Nicholas K. Spencer, Michael D. E. Turley 

Publication date: 12 June 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Cited In (6)

• Inference of time-varying regression models
• Title not available (Why is that?)
• Time-varying vector autoregressive models with stochastic volatility
• ORDER IDENTIFICATION IN MISSPECIFIED AUTOREGRESSIVE TIME SERIES MODELS
• Nonparametric Inference for Time-Varying Coefficient Quantile Regression
• Semiparametric model building for regression models with time-varying parameters

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