Multi-regime models for nonlinear nonstationary time series.

Francesco Battaglia Mattheos K. Protopapas

Published in: Comput. Stat. (2012)

Keyphrases

non stationary
autoregressive
random fields
financial time series
moving average
probabilistic model
dynamic programming
adaptive algorithms
computational complexity
state space
least squares
stock price
markov models
autoregressive model
gaussian markov random fields