Dahlhaus, Rainer
In: Stochastic processes and their applications, 62 (1996), Nr. 1. pp. 139-168. ISSN 0304-4149
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Abstract
A class of processes with a time varying spectral representationis introduced. A time varying spectral density is defined and a uniquenessproperty of this spectral density is established. As an example we study timevarying autoregressions. Several results on the asymptotic norm - andtrace behaviour of covariance matrices of such processes are derived. Asa consequence we prove a Kolmogorov formula for the local prediction error and calculate the asymptotic Kullback Leibler information divergence.
| Document type: | Article |
|---|---|
| Journal or Publication Title: | Stochastic processes and their applications |
| Volume: | 62 |
| Number: | 1 |
| Publisher: | Elsevier |
| Place of Publication: | Amsterdam |
| Date Deposited: | 13 Jun 2016 08:50 |
| Date: | 1996 |
| ISSN: | 0304-4149 |
| Page Range: | pp. 139-168 |
| Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Uncontrolled Keywords: | Locally stationary processes; Evolutionary spectra; Kullback-Leibler divergence; time varying autoregressions |
| Series: | Beiträge zur Statistik > Beiträge |
