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Modelling Time Series Using Time Varying Coefficient Autoregressive Models : With Application To Several Data Sets, Retno Maharesi

Theses: Doctorates and Masters

In this thesis the state space approach and the Kalman recursions are used for modelling univariate time series data. The models that are examined in this thesis are time varying Coefficient Autoregressive models, which can be represented in state space form. The coefficients are assumed to change according to a stationary process, a non-stationary process or a random process. In order to be able to estimate these changing unknown coefficients, they will be treated as state variables and the equation describing the changes of the state variables will be given by the state equation. The model can then be expressed …