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

Dahlhaus, Rainer

Bibtex export

@article{ Dahlhaus2009,
 title = {Local inference for locally stationary time series based on the empirical spectral measure},
 author = {Dahlhaus, Rainer},
 journal = {Journal of Econometrics},
 number = {2},
 pages = {101-112},
 volume = {151},
 year = {2009},
 doi = {https://doi.org/10.1016/j.jeconom.2009.03.002},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-233498},
 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.},
}