Nonstationary Yule-Walker equations

DOI10.1016/0167-7152(83)90029-9zbMath0526.62086OpenAlexW1993618247MaRDI QIDQ594516

Jean-Francois Ingenbleek, Marc Hallin

Publication date: 1983

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(83)90029-9

zbMATH Keywords

time seriesmodel buildingstochastic difference equationsgeneralized Yule-Walker equationsnon-stationary AR systemsnonstationary autoregressive processesstochastic realization problemtime-varying autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12) Stochastic analysis (60H99)

Related Items (3)

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ On the prediction of multivariate arma processes with a time dependent covariance structure ⋮ CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY

Cites Work

• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Some results in periodic autoregression
• Nonstationary autoregressive processes (Corresp.)
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