A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series

DOI10.1109/TAC.1985.1103788zbMath0554.62079MaRDI QIDQ3217482

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

white noise earthquake data minimum AIC method difference equation constraint modelling nonstationary time series smoothness priors time varying AR coefficient model state-space representation Kalman filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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