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Estimation of Time Varying Linear Systems

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  • Chang Chiann
  • Pedro Morettin

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  • Chang Chiann & Pedro Morettin, 1999. "Estimation of Time Varying Linear Systems," Statistical Inference for Stochastic Processes, Springer, vol. 2(3), pages 253-285, October.
    • Handle: RePEc:spr:sistpr:v:2:y:1999:i:3:p:253-285
    DOI: 10.1023/A:1009999208631
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    References listed on IDEAS

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    1. Michael H. Neumann, 1996. "Spectral Density Estimation Via Nonlinear Wavelet Methods For Stationary Non‐Gaussian Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(6), pages 601-633, November.
    2. Dahlhaus, R. & Neumann, M. & Von Sachs, R., 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Sato, Joao R. & Morettin, Pedro A. & Arantes, Paula R. & Amaro Jr., Edson, 2007. "Wavelet based time-varying vector autoregressive modelling," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5847-5866, August.

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