Testing Semiparametric Hypotheses in Locally Stationary Processes
نویسندگان
چکیده
منابع مشابه
Semiparametric estimation by model selection for locally stationary processes
Over the last decades more and more attention has been paid to the problem how to fit a parametric model of time series with time-varying parameters. A typical example is given by autoregressive models with time-varying parameters (tvAR processes). We propose a procedure to fit such time-varying models to general nonstationary processes. The estimator is a maximum Whittle likelihood estimator o...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2012
ISSN: 0303-6898
DOI: 10.1111/j.1467-9469.2012.00819.x