Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes

Annals of Statistics

Volumn 34, Issue 6, 2006, Pages 2794-2824

  Dahlhaus, Rainer ^a   Polonik, Wolfgang ^b  

^a UNIVERSITY OF HEIDELBERG   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Empirical spectral process; Exponential inequalities for quadratic forms; Locally stationary processes; Nonparametric maximum likelihood estimation; Sieve estimation

Indexed keywords

EID: 33746204150     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000000867     Document Type: Article

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