A Time-Frequency Functional Model for Locally Stationary Time Series Data
نویسندگان
چکیده
منابع مشابه
Nonparametric regression for locally stationary time series
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates. Moreover, we show that the...
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Loosely speaking, a stationary time series is one whose statistical properties remain constant over time, whereas the statistical properties of locally stationary (LS) time series change slowly over time. As a consequence, LS series can appear stationary when examined close up, but appear nonstationary when examined on a larger scale. Priestley (1983) and Nason and von Sachs (1999) review local...
متن کاملCostationarity of locally stationary time series
Loosely speaking, a stationary time series is one whose statistical properties remain constant over time, whereas the statistical properties of locally stationary (LS) time series change slowly over time. As a consequence, LS series can appear stationary when examined close up, but appear nonstationary when examined on a larger scale. Priestley (1983) and Nason and von Sachs (1999) review local...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2009
ISSN: 1061-8600,1537-2715
DOI: 10.1198/jcgs.2009.06109