Semiparametric Estimation by Model Selection for Locally Stationary Processes
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Cites work
- A likelihood approximation for locally stationary processes
- Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
- Fitting time series models to nonstationary processes
- Locally adaptive fitting of semiparametric models to nonstationary time series.
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS
- On recursive estimation for time varying autoregressive processes
- On the Kullback-Leibler information divergence of locally stationary processes
- Risk bounds for model selection via penalization
- SLEX Analysis of Multivariate Nonstationary Time Series
- Structural Break Estimation for Nonstationary Time Series Models
- Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra
Cited in
(14)- On parameter estimation for locally stationary long-memory processes
- Fitting time series models to nonstationary processes
- Locally adaptive fitting of semiparametric models to nonstationary time series.
- Local inference for locally stationary time series based on the empirical spectral measure
- Frequency domain tests of semiparametric hypotheses for locally stationary process
- On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
- Maximum likelihood estimation and model selection for locally stationary processes∗
- Semiparametric model building for regression models with time-varying parameters
- Testing for white noise against locally stationary alternatives
- Empirical spectral processes for locally stationary time series
- A Stratified Penalized Kernel Method for Semiparametric Variable Labeling and Estimation of Multi-Output Time-Varying Coefficient Models for Nonstationary Time Series
- Statistical inference in partially time-varying coefficient models
- Time-varying additive model with autoregressive errors for locally stationary time series
- Order selection for heteroscedastic autoregression: a study on concentration
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