We consider a purely fractionally deferenced process driven by periodically time-varying long memory parameter. will build an estimate for the vector parameters using minimum Hellinger distance estimation. The results are investigated through simulation studies.

An analysis has been presented of the effect of elastic foundation and uniform in-plane peripheral loading on the natural frequencies and mode shapes of circular plates of varying thickness exhibiting bi-directional functionally graded characteristics, on the basis of first order shear deformation theory. The material properties of the plate are varying following a power-law in both the radial ...

Abstract Estimating and quantifying uncertainty in unknown system parameters from limited data remains a challenging inverse problem variety of real-world applications. While many approaches focus on estimating constant parameters, subset these problems includes time-varying with evolution models that often cannot be directly observed. This work develops systematic particle filtering approach r...

The asymptotic behaviour is studied for a class of non-linear distributed parameter timevarying dissipative systems. This is achieved by using time-varying infinite-dimensional Banach state space description. Stability criteria are established, which are based on the dissipativity of the system in addition to another technical condition. The general development is applied to semi-linear systems...

In this paper, a novel Particle Swarm Optimization (PSO) identification algorithm for time-varying systems with a colored noise is presented. Presented criterion function can show not only outside system output error but also inside parameters error in order to explain more difference between actual and estimative system. Identification algorithm may consist of many different PSO algorithms tha...

We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well-known models such as the genera...

This paper examines the issue of state contingency in interest rate linkages across the G7 economies by employing Kalman (1960,1963) filter techniques to estimate time varying parameter models of bilateral dependence. Our results show that there is convincing evidence that international linkages in interest rates vary considerably over time. There are periods when international interest rate mo...