A higher-order random-parameter process for modeling and porecasting time series

DOI10.1080/03610928808829635zbMath0644.62096OpenAlexW2005243576MaRDI QIDQ3787333

Nien Fan Zhang, Robert V. Foutz

Publication date: 1988

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928808829635

zbMATH Keywords

existencewhite noisemaximum likelihood estimatesstationaritymultiple time seriesdoubly stochastic processGAR(p) processminimum mean-squared-error forecastsrandom-parameter autoregressive process

Mathematics Subject Classification ID

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

Cites Work

• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL
• THE ESTIMATION OF RANDOM COEFFICIENT AUTOGRESSIVE MODELS. II
• Unnamed Item

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