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Chapter 31. Nonstationary Time Series > Removing Nonstationary Means and Varian...

31.2. Removing Nonstationary Means and Variances

If μt = E{zt) depends on t, we can try to find a parametric model for μt, estimate the parameters of the model, and take to remove this source of nonstationarity. A popular approach is to parameterize fit as a linear function of some set of observed variables Xt = {X1t,..., Xmt)′ and parameters β = (β1,...,βm)′, leading to



  

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