Regularized Parametric Models of Nonstationary Processes
نویسندگان
چکیده
In this article, we study two classes of nonstationary processes respectively parameterized by time-varying autoregressions and time-varying lattice filters. The processes considered are induced by solutions to certain convex optimization problems with local or global constraints, and are consistent with standard models of their stationary counterparts. We show that an underlying nesting property naturally leads to a family of hypothesis tests for stationarity and provide a geometric interpretation of our results on the manifold of allpole rational transfer functions.
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تاریخ انتشار 2010