A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting

DOI10.4310/SII.2013.V6.N4.A8zbMATH Open1326.62186MaRDI QIDQ896587FDOQ896587

Authors: N. E. Zubov 

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

Recommendations

• Time-varying vector autoregressive models with stochastic volatility
• Change points detection and parameter estimation for multivariate time series
• Wavelet based time-varying vector autoregressive modelling
• A semiparametric approach for modelling multivariate nonlinear time series
• scientific article; zbMATH DE number 233049

zbMATH Keywords

multivariate time seriesyield curvenon-stationarityadaptive estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Inference from stochastic processes and prediction (62M20)

Cited In (2)

• A location-mixture autoregressive model for online forecasting of lung tumor motion
• Title not available (Why is that?)

This page was built for publication: A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896587)