메뉴 건너뛰기




Volumn , Issue , 2003, Pages 451-466

Curve estimation for locally stationary time series models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 39749142325     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-044451378-6/50031-4     Document Type: Chapter
Times cited : (4)

References (25)
  • 3
    • 0030095346 scopus 로고    scopus 로고
    • On the Kullback-Leibler information divergence of locally stationary processes
    • Dahlhaus R. On the Kullback-Leibler information divergence of locally stationary processes. Stoch. Proc. Appl. 1996, 62:139-168.
    • (1996) Stoch. Proc. Appl. , vol.62 , pp. 139-168
    • Dahlhaus, R.1
  • 4
    • 0011460348 scopus 로고    scopus 로고
    • Maximum likelihood estimation and model selection for locally stationary processes
    • Dahlhaus R. Maximum likelihood estimation and model selection for locally stationary processes. J. Nonparam. Statist. 1996, 6:171-191.
    • (1996) J. Nonparam. Statist. , vol.6 , pp. 171-191
    • Dahlhaus, R.1
  • 5
    • 0003260218 scopus 로고    scopus 로고
    • Asymptotic statistical inference for nonstationary processes with evolutionary spectra
    • Springer Verlag, San Francisco, P.M. Robinson, M. Rosenblatt (Eds.)
    • Dahlhaus R. Asymptotic statistical inference for nonstationary processes with evolutionary spectra. Athens Conference on Applied Probability and Time Series Analysis 1996, Springer Verlag, San Francisco. P.M. Robinson, M. Rosenblatt (Eds.).
    • (1996) Athens Conference on Applied Probability and Time Series Analysis
    • Dahlhaus, R.1
  • 6
    • 0031518090 scopus 로고    scopus 로고
    • Fitting time series models to nonstationary processes
    • Dahlhaus R. Fitting time series models to nonstationary processes. Ann. Statist. 1997, 25:1-37.
    • (1997) Ann. Statist. , vol.25 , pp. 1-37
    • Dahlhaus, R.1
  • 7
    • 0034343455 scopus 로고    scopus 로고
    • A likelihood approximation for locally stationary processes
    • Dahlhaus R. A likelihood approximation for locally stationary processes. Ann. Statist. 2000, 28:1762-1794.
    • (2000) Ann. Statist. , vol.28 , pp. 1762-1794
    • Dahlhaus, R.1
  • 8
    • 0001329087 scopus 로고    scopus 로고
    • On the optimal segment length for parameter estimates for locally stationary time series
    • Dahlhaus R., Giraitis L. On the optimal segment length for parameter estimates for locally stationary time series. J. Time Series Anal. 1998, 19:629-655.
    • (1998) J. Time Series Anal. , vol.19 , pp. 629-655
    • Dahlhaus, R.1    Giraitis, L.2
  • 9
    • 0011243724 scopus 로고    scopus 로고
    • Nonlinear wavelet estimation of time-varying autoregressive processes
    • Dahlhaus R., Neumann M.H., von Sachs R. Nonlinear wavelet estimation of time-varying autoregressive processes. Bernoulli 1999, 5:873-906.
    • (1999) Bernoulli , vol.5 , pp. 873-906
    • Dahlhaus, R.1    Neumann, M.H.2    von Sachs, R.3
  • 10
    • 0042409321 scopus 로고    scopus 로고
    • Locally adaptive fitting of semiparametric models to nonstationary time series
    • Dahlhaus R., Neumann M.H. Locally adaptive fitting of semiparametric models to nonstationary time series. Stoch. Proc. and Appl. 2001, 91:277-308.
    • (2001) Stoch. Proc. and Appl. , vol.91 , pp. 277-308
    • Dahlhaus, R.1    Neumann, M.H.2
  • 15
    • 85031227271 scopus 로고    scopus 로고
    • Nonparametric kernel estimation of evolutionary autoregressive processes
    • Kim W. Nonparametric kernel estimation of evolutionary autoregressive processes. SFB 373 Discussion Paper 103, Berlin 2001.
    • (2001) SFB 373 Discussion Paper 103, Berlin
    • Kim, W.1
  • 16
    • 0034354958 scopus 로고    scopus 로고
    • Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum
    • Nason G., von Sachs R., Kroisandt G. Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum. J. Royal Statistical Society Series B 2000, 62:271-292.
    • (2000) J. Royal Statistical Society Series B , vol.62 , pp. 271-292
    • Nason, G.1    von Sachs, R.2    Kroisandt, G.3
  • 17
    • 0031517528 scopus 로고    scopus 로고
    • Wavelet thresholding in anisotropic function classes nand applications to adaptive estimation of evolutionary spectra
    • Neumann M.H., von Sachs R. Wavelet thresholding in anisotropic function classes nand applications to adaptive estimation of evolutionary spectra. Ann. Statist. 1997, 25:38-76.
    • (1997) Ann. Statist. , vol.25 , pp. 38-76
    • Neumann, M.H.1    von Sachs, R.2
  • 20
    • 0001550082 scopus 로고
    • Evolutionary spectra and non-stationary processes
    • Priestley M.B. Evolutionary spectra and non-stationary processes. J. Roy. Statist. Soc. Ser. B 1965, 27:204-237.
    • (1965) J. Roy. Statist. Soc. Ser. B , vol.27 , pp. 204-237
    • Priestley, M.B.1
  • 22
    • 0141976688 scopus 로고    scopus 로고
    • Testing composite hypotheses for locally stationary processes
    • to appear
    • Sakiyama K., Taniguchi M. Testing composite hypotheses for locally stationary processes. J. Time Ser. Anal. 2003, to appear.
    • (2003) J. Time Ser. Anal.
    • Sakiyama, K.1    Taniguchi, M.2
  • 24
    • 0000751392 scopus 로고
    • Estimation and information in stationary time series
    • Whittle P. Estimation and information in stationary time series. Ark. Mat. 1953, 2:423-434.
    • (1953) Ark. Mat. , vol.2 , pp. 423-434
    • Whittle, P.1
  • 25
    • 0036271917 scopus 로고    scopus 로고
    • Large deviations for quadratic forms of locally stationary processes
    • Zani M. Large deviations for quadratic forms of locally stationary processes. J. Multivar. Anal. 2002, 81:205-228.
    • (2002) J. Multivar. Anal. , vol.81 , pp. 205-228
    • Zani, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.