On the optimal segment length for parameter estimates for locally stationary time series

Journal of Time Series Analysis

Volumn 19, Issue 6, 1998, Pages 629-655

  Dahlhaus, Rainer ^a   Giraitis, Liudas ^a  

^a NONE

Author keywords

Autoregressive processes; Evolutionary spectrum; Local time series models; Non stationary processes; Segment length; Time varying parameters

Indexed keywords

EID: 0001329087     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00114     Document Type: Article

References (26)

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