A Bayesian nonparametric Markovian model for non-stationary time series
Sign Up to like & getrecommendations! Published in 2017 at "Statistics and Computing"
DOI: 10.1007/s11222-016-9702-x
Abstract: 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… read more here.
Keywords: bayesian nonparametric; time series; time; model ... See more keywords