Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
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Publication:2373579
DOI10.1214/009053606000000867zbMath1114.62034arXiv0708.0143MaRDI QIDQ2373579
Wolfgang Polonik, Rainer Dahlhaus
Publication date: 12 July 2007
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.0143
locally stationary processes; sieve estimation; empirical spectral process; nonparametric maximum likelihood estimation; exponential inequalities for quadratic forms
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
62F30: Parametric inference under constraints
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