Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches

Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches

Autoregressive-moving average (ARMA) models with time-dependent (td) coefficients and marginally heteroscedastic innovations provide a natural alternative to stationary ARMA models. Several theories have been developed in the last 25 years for parametric estimations in that context. In this paper, w...

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Bibliographic Details
Main Authors: Rajae Azrak, Guy Mélard
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Stats
Subjects:
nonstationary process
time series
time-dependent model
time-varying model
<i>ρ</i>-mixing property
locally stationary processes
Online Access:https://www.mdpi.com/2571-905X/5/3/46

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https://www.mdpi.com/2571-905X/5/3/46

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