An approach to the nonstationary process analysis

DOI10.1007/BF02491462zbMath0682.62068MaRDI QIDQ5916453

Yoshiyasu-Hamada Tamura

Publication date: 1987

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

spectral density estimationautoregressive modelnonstationary processNumerical examplesAkaike Bayesian Information Criterionhyper-parameterchange of spectrumconstraint on the autoregressive coefficientsminimum ABICnonstationary time series model

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Frequency domain characteristics of linear operator to decompose a time series into the multi-components

Uses Software

• timsac

Cites Work

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• A procedure for the modeling of non-stationary time series
• Changing spectrum estimation
• Spectral analysis of the convolution and filtering of non-stationary stochastic processes
• Instantaneous Power Spectra

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