On the Kullback-Leibler information divergence of locally stationary processes (Q1915850): Difference between revisions

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-Rainer Dahlhaus
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+Time series: theory and methods
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+Fitting time series models to nonstationary processes
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+Maximum likelihood estimation and model selection for locally stationary processes<sup>∗</sup>
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+Asymptotic inference in stationary Gaussian time-series
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+Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
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+Non-stationary <i>q</i>-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
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+A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
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+EXAMPLES OF THE EVOLUTIONARY SPECTRUM THEORY
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+CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
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+Time series in the frequency domain
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+Spectral generating operators for non-stationary processes
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+Estimation and information in stationary time series
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+Publication:1915850