Visualitza MAT_Articles per paraule clau "local stationarity"
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Bootstrapping regression models with locally stationary disturbances
Springer (2020)A linear regression model with errors following a time-varying process is considered.In this class of models, the smoothness condition both in the trend function and inthe correlation structure of the error term ensures ... -
Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
Taylor & Francis (2017-06-05)We propose a state-space approach for GARCH models with time-varying parameters able to deal with non-stationarity that is usually observed in a wide variety of time series. The parameters of the non-stationary model are ...