An approach to the nonstationary process analysis
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Publication:5904017
DOI10.1007/BF02491462zbMath0678.62095MaRDI QIDQ5904017
Publication date: 1987
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
algorithm; numerical examples; autoregression; nonstationary process; expected likelihood; normal prior; ABIC criterion; AR(M) model; one-step-ahead predictors
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Uses Software
Cites Work