Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

DOI10.1214/009053606000000867zbMath1114.62034arXiv0708.0143MaRDI QIDQ2373579

Rainer Dahlhaus, Wolfgang Polonik

Publication date: 12 July 2007

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

Full work available at URL: https://arxiv.org/abs/0708.0143

zbMATH Keywords

locally stationary processes; sieve estimation; empirical spectral process; nonparametric maximum likelihood estimation; exponential inequalities for quadratic forms

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

62F30: Parametric inference under constraints

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