Inference for non-stationary time-series autoregression

DOI10.1111/JTSA.12028zbMath1275.62062OpenAlexW2141571546MaRDI QIDQ2864628

Zhou Zhou

Publication date: 26 November 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12028

zbMATH Keywords

Gaussian approximationlocally stationary approximationsimultaneous confidence tubestime-varying AR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)

Related Items (1)

Estimation and inference for precision matrices of nonstationary time series

Uses Software

• FinTS
• haarfisz

Cites Work

• Unnamed Item
• Local linear quantile estimation for nonstationary time series
• Fitting time series models to nonstationary processes
• A likelihood approximation for locally stationary processes
• Gaussian approximations for non-stationary multiple time series
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Analysis of Financial Time Series
• SLEX Analysis of Multivariate Nonstationary Time Series

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