The estimation of parametric change in time-series models
This thesis examines methods for detecting structural change in parametric time-series models. This detection is accomplished through the use of random walk models of the parameter variation. Although the model of main interest is the transfer function models the methods developed are largely adaptations of procedures used for regression models as the exact theory for the time-series case is generally too complex. An instrumental variable smoothing algorithm for estimating parametric...[Show more]
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