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KALMAN-TYPE RECURSIONS FOR TIME-VARYING ARMA MODELS AND THEIR IMPLICATION FOR LEAST SQUARES PROCEDURE
Kalman-type recursions least squares procedure state-space representations time-varying ARMA models
2009/9/18
This paper is devoted to ARMA models with timedependent
coefficients, including well-known periodic ARMA models. We
provide state-space representations and Kalman-type recursions to derive a
Wold–C...