Estimation and Forecasting of Locally St
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Wilfredo Palma; Ricardo Olea; Guillermo Ferreira
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Article
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2011
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John Wiley and Sons
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English
⚖ 933 KB
## ABSTRACT This paper develops a state space framework for the statistical analysis of a class of locally stationary processes. The proposed Kalman filter approach provides a numerically efficient methodology for estimating and predicting locally stationary models and allows for the handling of mi