A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables

DOI10.1016/0304-4076(95)01774-7zbMath0864.62059OpenAlexW1979731477MaRDI QIDQ1126470

Hiroko Kato, Sadao Naniwa, Makio Ishiguro

Publication date: 8 December 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01774-7

zbMATH Keywords

frequency domainKalman filtermaximum likelihoodnumerical optimizationnonstationarysystem analysisstate space formbest fitting modelBayesian multivariate stochastic modelinformation criterion AIClatent nonstationary trendsseasonal components

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

Testing for integration using evolving trend and seasonals models: A Bayesian approach. ⋮ BLIND SIGNAL SEPARATION OF MIXTURES OF CHAOTIC PROCESSES: A COMPARISON BETWEEN INDEPENDENT COMPONENT ANALYSIS AND STATE SPACE MODELING

Uses Software

• DALL

Cites Work

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• Modeling Multiple Times Series with Applications
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• A multivariate stochastic model with non‐stationary trend component
• A Multivariate Time Series Analysis of Some Flour Price Data

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