Generalized structural time series model
new class of univariate time series models is developed, the Generalized Structural (GEST) time series model. The GEST model extends Gaussian structural time series models by allowing the distribution of the dependent variable to come from any parametric distribution, including highly skew and=or ku...
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London Metropolitan University
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.639422 |