On some nonstationary, nonlinear random processes and their stationary approximations

DOI10.1239/aap/1165414596zbMath1103.62085OpenAlexW4251523651MaRDI QIDQ3419861

Suhasini Subba Rao

Publication date: 31 January 2007

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1165414596

zbMATH Keywords

nonlinearitynonstationaritystate space modellocal stationarityderivative processtime-varying GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stationary stochastic processes (60G10)

Related Items (13)

Efficient semiparametric estimation in time-varying regression models ⋮ ADAPTATION FOR NONPARAMETRIC ESTIMATORS OF LOCALLY STATIONARY PROCESSES ⋮ Normalized least-squares estimation in time-varying ARCH models ⋮ Graphical models for nonstationary time series ⋮ Inverse covariance operators of multivariate nonstationary time series ⋮ A perturbation analysis of Markov chains models with time-varying parameters ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS ⋮ Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients ⋮ Nonparametric regression for locally stationary time series ⋮ Local stationarity and time-inhomogeneous Markov chains ⋮ Cross validation for locally stationary processes ⋮ Testing for jumps in the presence of smooth changes in trends of nonstationary time series

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