Variance stabilizing filters#

DOI10.1080/03610926.2018.1528369MaRDI QIDQ5077973OpenAlexFDO

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

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
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• A simple heteroscedasticity removing filter
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• Analysis of financial time series
• Analysis of short time series with an over-dispersion model
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• On a measure of lack of fit in time series models
• Smoothing Time Series with Local Polynomial Regression on Time
• Table for Estimating the Goodness of Fit of Empirical Distributions
• Time series analysis by state space methods.

Cited in

(1)

• Random filters which preserve the stability of random inputs

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