Maximum likelihood estimation and model selection for locally stationary processes∗

DOI10.1080/10485259608832670zbMATH Open0879.62025OpenAlexW2094932661MaRDI QIDQ4345894FDOQ4345894

Authors: R. 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

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zbMATH Keywords

asymptotic propertiesAICdeterministic trendsGaussian likelihood

Mathematics Subject Classification ID

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

Cites Work

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

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
• Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
• Sequential robust estimation for nonparametric autoregressive models
• Detecting for smooth structural changes in GARCH models
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• Locally stationary wavelet packet processes: basis selection and model fitting
• On the localized estimators and generalized Akaike's criteria
• On the Kullback-Leibler information divergence of locally stationary processes
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• Likelihood Ratio Processes under Nonstandard Settings
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• Sequential model selection method for nonparametric autoregression
• Interaction between stock indices via changepoint analysis
• On the causality between multiple locally stationary processes
• 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
• Indirect inference for locally stationary ARMA processes with stable innovations
• Least squares estimators for unit root processes with locally stationary disturbance
• General estimation results for \textsc{tdVARMA} array models
• Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
• Time series regression models with locally stationary disturbance
• Prediction of weakly locally stationary processes by auto-regression
• Sequential adaptive estimators in nonparametric autoregressive models
• Optimal model selection for density estimation of stationary data under various mixing condi\-tions
• A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
• A generalized ARFIMA model with smooth transition fractional integration parameter
• Second-order properties of locally stationary processes
• Fitting time series models to nonstationary processes

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