Likelihood methods for nonstationary time series and random fields

MaRDI QIDQ2766506zbMATH OpenFDO

Authors R. Dahlhaus, M. Sahm

Publication date 28 January 2002

Published in Resenhas do Instituto do Matemática e Estatística da Universidade de São Paulo (Search for Journal in Brave)

zbMATH Keywords

bias reductiondata taperedge effectslikelihood approximationlocal likelihoodlocally stationary processesrandom fields

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields; image analysis (62M40)

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Cited in

(8)

• Multiscale spectral analysis for detecting short and long range change points in time series
• Locally stationary spatio-temporal processes
• A formal test for nonstationarity of spatial stochastic processes
• The debiased Whittle likelihood
• Likelihood-based inference for multivariate space-time wrapped-Gaussian fields
• Local stationarity for spatial data
• Local likelihood estimation for nonstationary random fields
• Fourier analysis of spatial point processes

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