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The estimation of autoregressive, moving average and mixed autoregressive moving average systems with time-dependent parameters of non-stationary time series

 

作者: M. Y. HUSSAIN,   T. SUBBA RAO,  

 

期刊: International Journal of Control  （Taylor Available online 1976）
卷期: Volume 23, issue 5  

页码: 647-656

 

ISSN:0020-7179

 

年代: 1976

 

DOI:10.1080/00207177608922190

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The estimation of the time-dependent parameters of non-stationary time-series models is considered. The method described hero is a frequency domain approach and the concepts of evolutionary spectral analysis are used to obtain the criterion function. The method is numerically illustrated.

 

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