- Proceeding Paper
A Comparison between Successive Estimate of TVAR(1) and TVAR(2) and the Estimate of a TVAR(3) Process
- Johannes Korte,
- Jan Martin Brockmann and
- Wolf-Dieter Schuh
In time series analyses, the auto-regressive (AR) modelling of zero mean data is widely used for system identification, signal decorrelation, detection of outliers and forecasting. An AR process of order p is uniquely defined by p coefficients and th...