Please use this identifier to cite or link to this item:
https://doi.org/10.4310/SII.2013.v6.n4.a8
DC Field | Value | |
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dc.title | A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting | |
dc.contributor.author | Chen, Y. | |
dc.contributor.author | Li, B. | |
dc.contributor.author | Niu, L. | |
dc.date.accessioned | 2014-10-28T05:09:08Z | |
dc.date.available | 2014-10-28T05:09:08Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Chen, Y., Li, B., Niu, L. (2013). A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting. Statistics and its Interface 6 (4) : 499-509. ScholarBank@NUS Repository. https://doi.org/10.4310/SII.2013.v6.n4.a8 | |
dc.identifier.issn | 19387989 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/104936 | |
dc.description.abstract | Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local interval is identified in a sequential testing procedure. Numerical analysis and real data applications are conducted to illustrate the monitoring function and forecast performance of the proposed model. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.4310/SII.2013.v6.n4.a8 | |
dc.source | Scopus | |
dc.subject | Adaptive estimation | |
dc.subject | Multivariate time series | |
dc.subject | Non-stationarity | |
dc.subject | Yield curve | |
dc.type | Article | |
dc.contributor.department | STATISTICS & APPLIED PROBABILITY | |
dc.description.doi | 10.4310/SII.2013.v6.n4.a8 | |
dc.description.sourcetitle | Statistics and its Interface | |
dc.description.volume | 6 | |
dc.description.issue | 4 | |
dc.description.page | 499-509 | |
dc.identifier.isiut | 000330487100008 | |
Appears in Collections: | Staff Publications |
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