Dahlhaus, Rainer
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Abstract
A new approximation to the Gaussian likelihood of a multivariate locally stationary process is introduced. It is based on an approximation of the inverse of the covariance matrix of such processes. The new quasi-likelihood is a generalisation of the classical Whittle-likelihood for stationary processes. For parametric models asymptotic normality and efficiency of the resulting estimator are proved. Since the likelihood has a special local structure it can be used for nonparametric inference as well. This is briefly sketched for different estimates.
| Document type: | Working paper |
|---|---|
| Place of Publication: | Heidelberg |
| Date Deposited: | 25 May 2016 13:27 |
| Date: | January 1999 |
| Number of Pages: | 39 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Series: | Beiträge zur Statistik > Beiträge |
