A time varying coefficient vector AR modeling of nonstationary covariance time series.

Xing-Qi Jiang Genshiro Kitagawa

Published in: Signal Process. (1993)

Keyphrases

non stationary
autoregressive
random fields
financial time series
adaptive algorithms
concept drift
stock price
discrete valued
augmented reality
blind source separation
empirical mode decomposition
multiresolution
covariance matrix
customer demand
multi component
fractional brownian motion