Time-varying parameter auto-regressive models for autocovariance nonstationary time series

DOI10.1007/S11425-008-0163-3zbMath1181.37112OpenAlexW2009513756MaRDI QIDQ1042928

WanChun Fei, Lun Bai

Publication date: 7 December 2009

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-008-0163-3

zbMATH Keywords

time-varying parameterauto-regressive modelautocovariance nonstationary time seriesminimum AIC estimationtime-varying order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Modes of computation (nondeterministic, parallel, interactive, probabilistic, etc.) (68Q10) Time series analysis of dynamical systems (37M10)

Related Items (2)

A time-series modeling method based on the boosting gradient-descent theory ⋮ A simulation method for finite non-stationary time series

Cites Work

• Unnamed Item
• Unnamed Item
• A procedure for the modeling of non-stationary time series
• Forecasting non-stationary time series by wavelet process modelling
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Pattern recognition of non-stationary time series with finite length
• Time-correlation analysis of nonstationary time series
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
• Time‐varying autoregressions with model order uncertainty

This page was built for publication: Time-varying parameter auto-regressive models for autocovariance nonstationary time series