Maximum likelihood estimation and model selection for locally stationary processes∗

DOI10.1080/10485259608832670zbMath0879.62025OpenAlexW2094932661MaRDI QIDQ4345894

Rainer Dahlhaus

Publication date: 11 January 1998

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485259608832670

zbMATH Keywords

asymptotic propertiesAICdeterministic trendsGaussian likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (27)

Indirect inference for locally stationary ARMA processes with stable innovations ⋮ STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS ⋮ Prediction of weakly locally stationary processes by auto-regression ⋮ Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ Fitting time series models to nonstationary processes ⋮ On the Kullback-Leibler information divergence of locally stationary processes ⋮ Likelihood Ratio Processes under Nonstandard Settings ⋮ Time series regression models with locally stationary disturbance ⋮ Sequential robust estimation for nonparametric autoregressive models ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations ⋮ Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ On the causality between multiple locally stationary processes ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ Large-deviation results for discriminant statistics of Gaussian locally stationary processes ⋮ Sequential Adaptive Estimators in Nonparametric Autoregressive Models ⋮ Large deviations for quadratic forms of locally stationary processes ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ Interaction between stock indices via changepoint analysis ⋮ Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting ⋮ Asymptotic properties of mildly explosive processes with locally stationary disturbance ⋮ Second-order properties of locally stationary processes ⋮ CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES ⋮ Sequential model selection method for nonparametric autoregression ⋮ Least squares estimators for unit root processes with locally stationary disturbance ⋮ LAN theorem for non-Gaussian locally stationary processes and its applications

Cites Work

• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Asymptotic inference in stationary Gaussian time-series
• Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
• A new look at the statistical model identification
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Maximum likelihood estimation and model selection for locally stationary processes^∗