๐”– Bobbio Scriptorium
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Time-varying parameter auto-regressive models for autocovariance nonstationary time series

โœ Scribed by WanChun Fei; Lun Bai


Book ID
107347892
Publisher
SP Science China Press
Year
2009
Tongue
English
Weight
311 KB
Volume
52
Category
Article
ISSN
1674-7283

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Sequential procedures are proposed to estimate the regression parameters in a linear regression model with dependent residuals. The error process considered here is a linear process with unknown spectral density. The sequential point estimator for the regression parameters is based on the least-squa