On the Kullback-Leibler information divergence of locally stationary processes
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Publication:1915850
DOI10.1016/0304-4149(95)00090-9zbMath0849.60032OpenAlexW1972684380MaRDI QIDQ1915850
Publication date: 1 July 1996
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/20931/1/beitrag.27.pdf
locally stationary processesKullback-Leibler divergenceevolutionary spectratime varying autoregressions
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