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...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2022-08-01
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Series: | Stats |
Subjects: | |
Online Access: | https://www.mdpi.com/2571-905X/5/3/46 |