Semiparametric estimation by model selection for locally stationary processes

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 68, Issue 5, 2006, Pages 721-746

  Van Bellegem, Sébastien ^a   Dahlhaus, Rainer ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Empirical spectral process; Locally stationary process; Model selection; Sieve estimator; Time varying autoregressive process; Whittle likelihood

Indexed keywords

EID: 33750351995     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/j.1467-9868.2006.00564.x     Document Type: Article

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