On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series

DOI10.1111/1467-9892.00114zbMath0921.62107OpenAlexW2092611268MaRDI QIDQ4255270

Rainer Dahlhaus, Liudas Giraitis

Publication date: 10 August 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00114

zbMATH Keywords

time serieslocal stationaritysegment lengthweighted periodogram

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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