Time series regression models with locally stationary disturbance

DOI10.1007/s11203-017-9155-7OpenAlexW2574798583MaRDI QIDQ1687325

Junichi Hirukawa

Publication date: 22 December 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-017-9155-7

zbMATH Keywords

least squares estimatorbest linear unbiased estimatorlocally stationary processtime series regression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stationary stochastic processes (60G10)

Related Items (1)

Asymptotic properties of mildly explosive processes with locally stationary disturbance

Cites Work

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• Fitting time series models to nonstationary processes
• On the Kullback-Leibler information divergence of locally stationary processes
• On multiple regression models with nonstationary correlated errors
• Maximum likelihood estimation and model selection for locally stationary processes^∗
• Least squares estimation in the regression model with autoregressive-moving average errors
• Non-linear time series regression

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