A Kalman filtering approach to event study analysis when performance variables are nonstationary

zbMATH Open1470.62139MaRDI QIDQ5004584FDOQ5004584

Authors: Anya Khanthavit 

Publication date: 2 August 2021

Full work available at URL: https://ph02.tci-thaijo.org/index.php/thaistat/article/view/242824

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zbMATH Keywords

regression modelstochastic trendabnormal behavior

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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