A time varying coefficient vector AR modeling of nonstationary covariance time series
type: Item
instance of: scholarly article
title: A time varying coefficient vector AR modeling of nonstationary covariance time series
zbMATH Open document ID: 0789.62068
DOI: 10.1016/0165-1684(93)90129-X
author: Xing-Qi Jiang
author: Genshiro Kitagawa
published in: Signal Processing
publication date: 1994-06-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 503523
zbMATH Keywords: vector autoregressive model
zbMATH Keywords: AIC
zbMATH Keywords: state space model
zbMATH Keywords: autocovariance function
zbMATH Keywords: time varying coefficients
zbMATH Keywords: covariance nonstationary vector- valued time series
zbMATH Keywords: Bayesian smoothness priors
zbMATH Keywords: difference equation
zbMATH Keywords: Gaussian white noise
zbMATH Keywords: Kalman filter
zbMATH Keywords: VAR model
zbMATH Keywords: simulation study
zbMATH Keywords: cross- covariance function
zbMATH Keywords: time varying spectrum
zbMATH Keywords: time varying noise contribution
zbMATH Keywords: earthquake data
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 503523