Costationarity of locally stationary time series
نویسندگان
چکیده
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 locally stationary (LS) time series. Recently, Dahlhaus and Polonik (2006) introduced a general infinite order time-varying moving average (MA) representation for LS processes:
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