A COMPUTATIONAL METHOD FOR ESTIMATING DENSITIES OF NON-GAUSSIAN NONSTATIONARY UNIVARIATE TIME SERIES

DOI10.1111/j.1467-9892.1993.tb00135.xzbMath0825.62690OpenAlexW2040721049MaRDI QIDQ4696573

P. E. Hodges, D. F. Hale

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00135.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Optimization of stochastic systems. Topics in discrete-time systems
• Recursive Bayesian estimation using Gaussian sums
• Non-Gaussian State-Space Modeling of Nonstationary Time Series

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