Local inference for locally stationary time series based on the empirical spectral measure

DOI10.1016/j.jeconom.2009.03.002zbMath1431.62362OpenAlexW2078404699MaRDI QIDQ2628836

Rainer Dahlhaus

Publication date: 18 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.002

zbMATH Keywords

asymptotic normalitylocally stationary processesnonstationary time seriesempirical spectral measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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