Applicability of Kalman filtering theory to identification of time series with non-stationary covariance structures

DOI10.1080/00207728908910106zbMath0672.93072OpenAlexW2063434386MaRDI QIDQ3826464

Daniel Graupe, Alvin Todd Moser

Publication date: 1989

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728908910106

zbMATH Keywords

stabilityoptimalityKalman filternon-stationary identifier

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cites Work

• Problems of identification and control
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER

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