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

DOI10.4310/SII.2013.V6.N4.A8MaRDI QIDQ896587zbMATH OpenFDO

Authors N. E. Zubov

Publication date 10 December 2015

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

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)

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