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Local inference for locally stationary time series based on the empirical spectral measure

[Zeitschriftenartikel]

Dahlhaus, Rainer

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-233498

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Abstract The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied - both when its index function is fixed or dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.
Klassifikation Naturwissenschaften, Technik(wissenschaften), angewandte Wissenschaften
Freie Schlagwörter C220; C140; Empirical spectral measure; Asymptotic normality; Locally stationary processes; Nonstationary time series
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 101-112
Zeitschriftentitel Journal of Econometrics, 151 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.03.002
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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