Smooth Online Parameter Estimation for time varying VAR models with application to rat's LFP data

no code implementations • 24 Feb 2021 • Anass El Yaagoubi Bourakna, Marco Pinto, Norbert Fortin, Hernando Ombao

For these reasons we propose a new smooth online parameter estimation approach (SOPE) that has the ability to control for the smoothness of the estimates with a reasonable computational complexity.

Time Series Analysis Methodology Computation Other Statistics