Estimation of time varying linear systems

DOI10.1023/A:1009999208631zbMath0967.62073OpenAlexW1529158702MaRDI QIDQ5933680

Chang Chiann, Pedro Alberto Morettin

Publication date: 14 August 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009999208631

zbMATH Keywords

waveletskernel estimatorssimulationsevolutionary spectrumlocally stationary processestime varying linear systems

Mathematics Subject Classification ID

Density estimation (62G07) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (9)

Discriminating between long-range dependence and non-stationarity ⋮ Transfer function models with time-varying coefficients ⋮ A test for stationarity based on empirical processes ⋮ Time-domain estimation of time-varying linear systems ⋮ Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes ⋮ Transfer functions in dynamic generalized linear models ⋮ Wavelet based time-varying vector autoregressive modelling ⋮ Testing Semiparametric Hypotheses in Locally Stationary Processes ⋮ AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series

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