A Bayesian nonparametric Markovian model for non-stationary time series
نویسندگان
چکیده
منابع مشابه
A Bayesian nonparametric Markovian model for non-stationary time series
Stationary time series models built from parametric distributions are, in general, limited in scope due to the assumptions imposed on the residual distribution and autoregression relationship. We present a modeling approach for univariate time series data, which makes no assumptions of stationarity, and can accommodate complex dynamics and capture non-standard distributions. The model for the t...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2016
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-016-9702-x