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Comment on ‘variance intervention’, by Peter Young and Cho Ng

✍ Scribed by Duk B. Jun


Book ID
102218078
Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
121 KB
Volume
8
Category
Article
ISSN
0277-6693

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Variance intervention
✍ Peter Young; Cho Ng 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 958 KB

Variance intervention is a simple state-space approach to handling sharp discontinuities of level or slope in the states or parameters of models for non-stationary time-series. It derives from earlier procedures used in the 1960s for the design of self-adaptive, state variable feedback control syste