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%T Local inference for locally stationary time series based on the empirical spectral measure %A Dahlhaus, Rainer %J Journal of Econometrics %N 2 %P 101-112 %V 151 %D 2009 %K C220; C140; Empirical spectral measure; Asymptotic normality; Locally stationary processes; Nonstationary time series %= 2011-03-18T10:18:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-233498 %X 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. %C NLD %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info