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This paper develops a new recursive nonstationarity detection method based on time-varying autoregressive (TVAR) modeling. A local likelihood estimation approach is introduced which gives more weights to observations near the current time instant but less to those distance apart. It thus allows the Wald test to be computed based on RLS-type algorithms with low computational cost. A reliable and efficient...
This paper proposes a new state-regularized (SR) and QR decomposition based recursive least squares (QRRLS) algorithm with variable forgetting factor (VFF) for recursive coefficient estimation of time-varying autoregressive (AR) models. It employs the estimated coefficients as prior information to minimize the exponentially weighted observation error, which leads to reduced variance and bias over...
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