Time varying coefficient AR and VAR models

MaRDI QIDQ4249441zbMATH OpenFDO

Authors Xing-Qi Jiang

Publication date 26 September 2000

zbMATH Keywords

AR modelstime seriestime varying coefficient modelsVAR models

Mathematics Subject Classification ID

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

Review text

Analysis of time varying coefficients AR and VAR models is surveyed in this contribution (previous work by Kitagawa, Jing and other authors). The procedure for estimating these models consists in introducing the state space model based on Bayesian smoothness priors. The estimates of the time varying coefficients and the likelihood of the hyperparameters of the models are obtained by the Kalman filter. The hyperparameters are estimated by the method of maximum likelihood. The AR order is determined by the minimum AIC procedure. The estimation of the time varying spectrum and cross-spectrum is discussed. An example of seismic data analysis using the time varying coefficients VAR model is given. For the entire collection see [Zbl 0907.00020].

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(11)

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• VAR based state-space structures: realization, statistics and spectral analysis
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