A likelihood approximation for locally stationary processes

DOI10.1214/aos/1015957480zbMath1010.62078OpenAlexW4241026100MaRDI QIDQ1848853

Rainer 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

Mathematics Subject Classification ID

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

Related Items

Locally adaptive fitting of semiparametric models to nonstationary time series., Semiparametric Estimation by Model Selection for Locally Stationary Processes, Discriminant analysis for locally stationary processes, Temperatures in transient climates: improved methods for simulations with evolving temporal covariances, Local inference for locally stationary time series based on the empirical spectral measure, Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes, ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS, Adaptive Bayesian Spectral Analysis of High-Dimensional Nonstationary Time Series, Testing for Stationarity in Multivariate Locally Stationary Processes, Nonparametric change point detection in multivariate piecewise stationary time series, Adaptive spectral estimation for nonstationary multivariate time series, Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes, Nonlinearity Induced Weak Instrumentation, A similarity-based approach to time-varying coefficient non-stationary autoregression, Contrast estimation of time-varying infinite memory processes, Empirical spectral processes for locally stationary time series, An efficient estimator for locally stationary Gaussian long-memory processes, Bootstrapping regression models with locally stationary disturbances, Interpolation of nonstationary high frequency spatial-temporal temperature data, Synthesis-based time-scale transforms for non-stationary signals, Continuous-time locally stationary time series models, Trend locally stationary wavelet processes, Autoregressive approximations to nonstationary time series with inference and applications, Graphical models for nonstationary time series, Local likelihood estimation for nonstationary random fields, Inverse covariance operators of multivariate nonstationary time series, Inference with the Whittle Likelihood: A Tractable Approach Using Estimating Functions, Spectral estimation in the presence of missing data, Clustering nonlinear, nonstationary time series using BSLEX, Time-varying cointegration with an application to the UK Great Ratios, On the causality between multiple locally stationary processes, On geometric ergodicity of CHARME models, Locally adaptive estimation of evolutionary wavelet spectra, Transformation to approximate independence for locally stationary Gaussian processes, Towards a general theory for nonlinear locally stationary processes, Time-frequency analysis of locally stationary Hawkes processes, Time-dependent frequency domain principal components analysis of multichannel non-stationary signals, Modelling and Prediction of Financial Time Series, Locally stationary long memory estimation, NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS, A wavelet-based approach for imputation in nonstationary multivariate time series, Classification of multivariate non-stationary signals: the SLEX-shrinkage approach, Fitting dynamic factor models to non-stationary time series, Estimation of slowly time-varying trend function in long memory regression models, Time-varying auto-regressive models for count time-series, Second-order properties of locally stationary processes, Frequency Domain Tests of Semiparametric Hypotheses for Locally Stationary Processes, Testing for white noise against locally stationary alternatives, Flexible Bayesian dynamic modeling of correlation and covariance matrices, Wavelet based time-varying vector autoregressive modelling, Statistical analysis of multivariate discrete-valued time series, Adaptive Bayesian Time–Frequency Analysis of Multivariate Time Series, Local stationarity and time-inhomogeneous Markov chains, LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION, A quasi-Bayesian local likelihood approach to time varying parameter VAR models, Minimum distance estimation of locally stationary moving average processes, NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS, Some notes on nonlinear cointegration: A partial review with some novel perspectives, LAN theorem for non-Gaussian locally stationary processes and its applications, Inference for non-stationary time-series autoregression, Choosing between persistent and stationary volatility, Nonparametric estimation of time varying parameters under shape restrictions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• A central limit theorem for stationary processes and the parameter estimation of linear processes
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Fitting time series models to nonstationary processes
• Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra
• Adaptive covariance estimation of locally stationary processes
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• Locally adaptive fitting of semiparametric models to nonstationary time series.
• Parameter estimation for ARMA models with infinite variance innovations
• Gaussian semiparametric estimation of long range dependence
• Estimation and information in stationary time series
• Asymptotic inference in stationary Gaussian time-series
• On Methods for Obtaining Asymptotically Efficient Spectral Parameter Estimates for a Stationary Gaussian Process with Rational Spectral Density
• The asymptotic theory of linear time-series models