A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
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一种非平稳时间序列模型及其递归滤波器拟合
DOI：
10.1111/j.1467-9892.1981.tb00316.x
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发表时间：
1981
影响因子：
0.9
通讯作者：
G. Kitagawa
中科院分区：
文献类型：
--
作者：
G. Kitagawa
抽象的。提出了用状态空间表示法分析非平稳时间序列。对于拟合的模型，提出了使用一个修改后的AIC的基础上的创新过程的可能性。平方根滤波器/平滑算法的可能性和状态估计的评价进行了讨论。
Abstract. The use of the state space representation for the analysis of nonstationary time series is proposed. For the fitting of the models, the use of a modified AIC based on the likelihood of the innovation process is proposed. A square root filter/smoother algorithm for the evaluation of the likelihood and state estimation is discussed.