Blar i TKD - Institutt for maskin, elektronikk og kjemi på tidsskrift "Statistics and its Interface"
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Smooth online parameter estimation for time varying VAR models with application to rat local field potential activity data
(Peer reviewed; Journal article, 2023)Multivariate time series data appear often as realizations of non-stationary processes where the covariance matrix or spectral matrix smoothly evolve over time. Most of the current approaches estimate the time-varying ...