A multivariate stochastic model with non‐stationary trend component

DOI10.1002/ASM.3150110109MaRDI QIDQ4842353zbMATH OpenOpenAlexFDO

Authors Hiroko Kato, Sadao Naniwa, Makio Ishiguro

Publication date 3 October 1995

Published in Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asm.3150110109

zbMATH Keywords

AIC procedureco-movementsKalman filter algorithmmaximum likelihoodmultivariate nonstationary stochastic time series modelnumerical optimizationstate-space form

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(3)

• A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables
• Multivariate trend function testing with mixed stationary and integrated disturbances
• Dynamic regression models with stochastic trends: an application to the unemployment-growth relation

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