Parameter Estimation of Nonstationary Processes
نویسندگان
چکیده
منابع مشابه
Maximum likelihhood estimation and model selection for nonstationary processes
The Gaussian maximum likelihood estimate is investigated for time series models that have locally a stationary behaviour (e.g. for time varying autoregressive models). The asymptotic properties are studied in the case where the fitted model is either correct or misspecified. For example the behaviour of the maximum likelihood estimate is explained in the case where a stationary model is fitted ...
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ژورنال
عنوان ژورنال: Transactions of the Society of Instrument and Control Engineers
سال: 1979
ISSN: 0453-4654
DOI: 10.9746/sicetr1965.15.41