Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

DOI10.1214/009053606000000867zbMath1114.62034arXiv0708.0143OpenAlexW3100818114MaRDI QIDQ2373579

Wolfgang Polonik, Rainer Dahlhaus

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 processessieve estimationempirical spectral processnonparametric maximum likelihood estimationexponential inequalities for quadratic forms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Parametric inference under constraints (62F30)

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