A likelihood approximation for locally stationary processes

DOI10.1214/AOS/1015957480zbMATH Open1010.62078OpenAlexW4241026100MaRDI QIDQ1848853FDOQ1848853

Authors: R. Dahlhaus 

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1015957480

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Mathematics Subject Classification ID

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

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Cited In (76)

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• Local Whittle likelihood approach for generalized divergence
• Learning CHARME models with neural networks
• Synthesis-based time-scale transforms for non-stationary signals
• Estimation of slowly time-varying trend function in long memory regression models
• Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions
• Irregular nonparametric autoregression
• Inverse covariance operators of multivariate nonstationary time series
• General estimation results for \textsc{tdVARMA} array models
• Gaussian approximation for nonstationary time series with optimal rate and explicit construction
• Second-order properties of locally stationary processes
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• Time-varying cointegration with an application to the UK Great Ratios
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Empirical process theory for locally stationary processes
• Frequency domain tests of semiparametric hypotheses for locally stationary process
• Nonparametric estimation of time varying parameters under shape restrictions
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Interpolation of nonstationary high frequency spatial-temporal temperature data
• Local stationarity and time-inhomogeneous Markov chains
• Likelihood methods for nonstationary time series and random fields
• Choosing between persistent and stationary volatility
• Some notes on nonlinear cointegration: a partial review with some novel perspectives
• Towards a general theory for nonlinear locally stationary processes
• Time-frequency analysis of locally stationary Hawkes processes
• Contrast estimation of time-varying infinite memory processes
• Minimum distance estimation of locally stationary moving average processes
• Continuous-time locally stationary time series models
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• A similarity-based approach to time-varying coefficient non-stationary autoregression
• Adaptive spectral estimation for nonstationary multivariate time series
• Temperatures in transient climates: improved methods for simulations with evolving temporal covariances
• Empirical spectral processes for locally stationary time series
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• Transformation to approximate independence for locally stationary Gaussian processes
• Local Whittle likelihood estimators and tests for non-Gaussian stationary processes
• Trend locally stationary wavelet processes
• On the causality between multiple locally stationary processes
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Discriminant analysis for locally stationary processes
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• Fitting dynamic factor models to non-stationary time series
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• Testing for stationarity in multivariate locally stationary processes
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• Nonlinearity induced weak instrumentation
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• ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
• Modelling and Prediction of Financial Time Series
• On geometric ergodicity of CHARME models
• Local inference for locally stationary time series based on the empirical spectral measure
• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
• A wavelet-based approach for imputation in nonstationary multivariate time series
• Inference for non-stationary time-series autoregression
• Local likelihood estimation for nonstationary random fields
• Autoregressive approximations to nonstationary time series with inference and applications
• Classification of multivariate non-stationary signals: the SLEX-shrinkage approach
• Wavelet based time-varying vector autoregressive modelling
• Locally stationary long memory estimation
• An efficient estimator for locally stationary Gaussian long-memory processes
• Testing for white noise against locally stationary alternatives
• Spectral estimation in the presence of missing data
• Clustering nonlinear, nonstationary time series using BSLEX
• Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series
• Locally adaptive estimation of evolutionary wavelet spectra
• Norming rates and limit theory for some time-varying coefficient autoregressions
• Local stationarity for spatial data
• Nonparametric change point detection in multivariate piecewise stationary time series

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