Maximum likelihood estimation and model selection for locally stationary processes∗
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 3954108 (Why is no real title available?)
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 3781344 (Why is no real title available?)
- A new look at the statistical model identification
- 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
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
Cited in
(34)- LAN theorem for non-Gaussian locally stationary processes and its applications
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- A likelihood approximation for locally stationary processes
- Sequential robust estimation for nonparametric autoregressive models
- Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
- Locally stationary wavelet packet processes: basis selection and model fitting
- Detecting for smooth structural changes in GARCH models
- On the Kullback-Leibler information divergence of locally stationary processes
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- On the localized estimators and generalized Akaike's criteria
- Likelihood Ratio Processes under Nonstandard Settings
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- Sequential model selection method for nonparametric autoregression
- On the causality between multiple locally stationary processes
- Interaction between stock indices via changepoint analysis
- Semiparametric Estimation by Model Selection for Locally Stationary Processes
- Large-deviation results for discriminant statistics of Gaussian locally stationary processes
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Large deviations for quadratic forms of locally stationary processes
- CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES
- Least squares estimators for unit root processes with locally stationary disturbance
- Indirect inference for locally stationary ARMA processes with stable innovations
- Time series regression models with locally stationary disturbance
- Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
- General estimation results for \textsc{tdVARMA} array models
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- Sequential adaptive estimators in nonparametric autoregressive models
- A generalized ARFIMA model with smooth transition fractional integration parameter
- Prediction of weakly locally stationary processes by auto-regression
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Second-order properties of locally stationary processes
- Fitting time series models to nonstationary processes
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