title: On the Kullback-Leibler Information Divergence of LocallyStationary Processes
creator: Dahlhaus, Rainer
subject: ddc-510
subject: 510 Mathematics
description: 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.
publisher: Elsevier
date: 1996
type: Article
type: info:eu-repo/semantics/article
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/20931/1/beitrag.27.pdf
identifier: DOI:10.11588/heidok.00020931
identifier: urn:nbn:de:bsz:16-heidok-209315
identifier:   Dahlhaus, Rainer  (1996) On the Kullback-Leibler Information Divergence of LocallyStationary Processes.  Stochastic processes and their applications, 62 (1).  pp. 139-168.  ISSN 0304-4149     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/20931/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng