Empirical spectral processes for locally stationary time series

DOI10.3150/08-BEJ137zbMath1204.62156arXiv0902.1448MaRDI QIDQ605845

Rainer Dahlhaus, Wolfgang Polonik

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.1448

zbMATH Keywords

asymptotic normality; quadratic forms; locally stationary processes; non-stationary time series; empirical spectral process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

60E15: Inequalities; stochastic orderings

62M09: Non-Markovian processes: estimation

62M15: Inference from stochastic processes and spectral analysis

60F17: Functional limit theorems; invariance principles

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