Exact maximum likelihood estimation for non-stationary periodic time series models.
Irma HindrayantoSiem Jan KoopmanMarius OomsPublished in: Comput. Stat. Data Anal. (2010)
Keyphrases
- non stationary
- maximum likelihood estimation
- autoregressive
- random fields
- parameter estimation
- em algorithm
- adaptive algorithms
- maximum likelihood
- least squares
- empirical mode decomposition
- machine learning methods
- mixture of gaussians
- stock price
- density function
- bayesian networks
- statistical models
- prior knowledge