A Bayesian analysis of moving average processes with time-varying parameters

DOI10.1016/j.csda.2007.04.001zbMath1452.62683OpenAlexW2079429443MaRDI QIDQ1020904

Kostas Triantafyllopoulos, Guy P. Nason

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.04.001

zbMATH Keywords

time seriestime-varying parameterslocally stationary processesforecastingmoving averageBayesian modelsLondon Metal Exchange

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (3)

The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ A note on state space representations of locally stationary wavelet time series ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering

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