Asymptotic statistical inference for nonstationary processes with evolutionary spectra-Reference-Cited by-同舟云学术

Asymptotic statistical inference for nonstationary processes with evolutionary spectra

Published:1996 Issue: Volume: Page:145-159
ISSN:0930-0325
Container-title:Athens Conference on Applied Probability and Time Series Analysis
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Author:

Dahlhaus R.

Publisher

Springer New York

Link

http://link.springer.com/content/pdf/10.1007/978-1-4612-2412-9_11.pdf

Reference14 articles.

1. R. Dahlhaus. Fitting time series models to nonstationary processes. Ann. Statist.,1996. To be published.

2. R. Dahlhaus. Maximum likelihood estimation and model selection for locally stationary processes. J. Nonpar. Statist.,1996. To be published.

3. R. Dahlhaus. On the Kullback-Leibler information divergence of locally stationary processes. Stochastic Processes and their Applications,1996. To be published.

4. R. Dahlhaus and L. Giraitis. The bias and the mean squared error in semiparametric models for locally stationary time-series. Preprint, Universität Heidelberg, 1995.

5. R.J. Hyndman and M.P. Wand. Nonparametric autocovariance function estimation, 1996. Unpublished manuscript.

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