Variance stabilizing filters#

DOI10.1080/03610926.2018.1528369OpenAlexW2939482682MaRDI QIDQ5077973FDOQ5077973

Authors: Oskar Gustafsson, Pär Stockhammar 

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1528369

zbMATH Keywords

Kalman filtertime seriessimulation studiesheteroscedasticity filtersUS GDP

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• An Extension of Shapiro and Wilk's W Test for Normality to Large Samples
• On a measure of lack of fit in time series models
• Table for Estimating the Goodness of Fit of Empirical Distributions
• An analysis of variance test for normality (complete samples)
• Time series analysis by state space methods.
• Analysis of financial time series
• Analysis of short time series with an over-dispersion model
• A simple heteroscedasticity removing filter
• Smoothing Time Series with Local Polynomial Regression on Time

Cited In (1)

• Random filters which preserve the stability of random inputs

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