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Local inference for locally stationary time series based on the empirical spectral measure
[Zeitschriftenartikel]
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 part... mehr
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.... weniger
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
https://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)