A time varying coefficient vector AR modeling of nonstationary covariance time series

DOI10.1016/0165-1684(93)90129-XzbMath0789.62068MaRDI QIDQ1314568

Genshiro Kitagawa, Xing-Qi Jiang

Publication date: 16 June 1994

Published in: Signal Processing (Search for Journal in Brave)

zbMATH Keywords

Kalman filterGaussian white noiseautocovariance functionsimulation studydifference equationstate space modelAICtime varying coefficientsVAR modelvector autoregressive modeltime varying spectrumearthquake dataBayesian smoothness priorscovariance nonstationary vector- valued time seriescross- covariance functiontime varying noise contribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Signal Extraction Problems in Seismology ⋮ Time-varying vector autoregressive models with stochastic volatility ⋮ Time-frequency analysis of multichannel signals using two-sided autoregressive modeling ⋮ Application of Kalman Filter Finite Element Method and AIC

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