A propagation-separation approach to estimate the autocorrelation in a time-series
The paper presents an approach to estimate parameters of a local stationary AR(1) time series model by maximization of a local likelihood function. The method is based on a propagation-separation procedure that leads to data dependent weights defining the local model. Using free propagation of weigh...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Copernicus Publications
2008-07-01
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| Series: | Nonlinear Processes in Geophysics |
| Online Access: | http://www.nonlin-processes-geophys.net/15/591/2008/npg-15-591-2008.pdf |