Estimation and Forecasting of Locally Stationary Processes
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Publication:4687311
DOI10.1002/FOR.1259zbMath1397.62319OpenAlexW1928350717MaRDI QIDQ4687311
Wilfredo Palma, Ricardo A. Olea, Guillermo P. Ferreira
Publication date: 11 October 2018
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10533/126886
nonstationaritystate space systemmissing valuestime-varying modelslikelihood estimatesKalman filter approach
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
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