A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER

Genshiro Kitagawa

Journal of Time Series Analysis, 1981, vol. 2, issue 2, 103-116

Abstract: Abstract. The use of the state space representation for the analysis of nonstationary time series is proposed. For the fitting of the models, the use of a modified AIC based on the likelihood of the innovation process is proposed. A square root filter/smoother algorithm for the evaluation of the likelihood and state estimation is discussed.

Date: 1981
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