Stabilization of Smoothness Priors Time-Varying Autoregressive Models

摘要

The stability of time-varying autoregressive (AR) models is an important issue in such applications as time-varying spectrum estimation and electroencephalography simu- lation and estimation. In some cases, such as time-varying spectrum estimation, the models that exhibit roots near unit moduli are difficult to use. Thus a tighter stability condition such as stability with a positive margin is needed.