Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

DOI10.1214/009053606000000867zbMATH Open1114.62034arXiv0708.0143OpenAlexW3100818114MaRDI QIDQ2373579FDOQ2373579

Authors: Wolfgang Polonik, R. Dahlhaus 

Publication date: 12 July 2007

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

Abstract: This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain likelihood over a class of functions. The asymptotic behavior of the resulting estimator is studied. The results depend on the richness of the class of functions. Both sieve estimation and global estimation are considered. Our results apply, in particular, to estimation under shape constraints. As an example, autoregressive model fitting with a monotonic variance function is discussed in detail, including algorithmic considerations. A key technical tool is the time-varying empirical spectral process indexed by functions. For this process, a Bernstein-type exponential inequality and a central limit theorem are derived. These results for empirical spectral processes are of independent interest.

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

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zbMATH Keywords

sieve estimationlocally stationary processesempirical spectral processnonparametric maximum likelihood estimationexponential inequalities for quadratic forms

Mathematics Subject Classification ID

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

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Cited In (44)

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