Maximum likelihood estimation and model selection for locally stationary processes∗
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Publication:4345894
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Cites work
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- 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
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- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
Cited in
(41)- Locally stationary wavelet packet processes: basis selection and model fitting
- Fitting time series models to nonstationary processes
- Time series regression models with locally stationary disturbance
- A generalized ARFIMA model with smooth transition fractional integration parameter
- A likelihood approximation for locally stationary processes
- On the Kullback-Leibler information divergence of locally stationary processes
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- LAN theorem for non-Gaussian locally stationary processes and its applications
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
- Sequential robust estimation for nonparametric autoregressive models
- Sequential adaptive estimators in nonparametric autoregressive models
- Second-order properties of locally stationary processes
- On the localized estimators and generalized Akaike's criteria
- CLUSTER ANALYSIS FOR NON-GAUSSIAN LOCALLY STATIONARY PROCESSES
- Semiparametric Estimation by Model Selection for Locally Stationary Processes
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- On the causality between multiple locally stationary processes
- Large-deviation results for discriminant statistics of Gaussian locally stationary processes
- Prediction of weakly locally stationary processes by auto-regression
- Indirect inference for locally stationary ARMA processes with stable innovations
- Likelihood Ratio Processes under Nonstandard Settings
- Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
- Sequential model selection method for nonparametric autoregression
- Interaction between stock indices via changepoint analysis
- Detecting for smooth structural changes in GARCH models
- A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- General estimation results for \textsc{tdVARMA} array models
- Time-varying spatio-temporal models by wavelets
- The information matrix of time-dependent models for vector time series
- Nonparametric estimation in a nonlinear time-varying generalized regression model with locally stationary covariate and ARCH-errors
- Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
- Large deviations for quadratic forms of locally stationary processes
- Rank tests for randomness against time-varying MA alternative
- Generalized linear spectral models for locally stationary processes
- Modeling nonstationary time series using locally stationary basis processes
- Least squares estimators for unit root processes with locally stationary disturbance
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
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