Changing spectrum estimation

DOI10.1016/0022-460X(83)90547-3zbMath0524.62091OpenAlexW1990762833MaRDI QIDQ3036537

Genshiro Kitagawa

Publication date: 1983

Published in: Journal of Sound and Vibration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-460x(83)90547-3

zbMATH Keywords

Kalman filterautoregressive modelAIC criteriontime varying coefficientsfixed interval smootherchanging spectrum estimationnon-stationary covariance time series

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15)

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