Empirical spectral processes for locally stationary time series

DOI10.3150/08-BEJ137zbMath1204.62156arXiv0902.1448MaRDI QIDQ605845

Rainer Dahlhaus, Wolfgang Polonik

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.1448

zbMATH Keywords

asymptotic normalityquadratic formslocally stationary processesnon-stationary time seriesempirical spectral process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inequalities; stochastic orderings (60E15) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

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