TY  - JOUR
ID  - heidok20931
PB  - Elsevier
TI  - On the Kullback-Leibler Information Divergence of LocallyStationary Processes
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/20931/
N2  - 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.
AV  - public
Y1  - 1996///
SN  - 0304-4149
CY  - Amsterdam
KW  - Locally stationary processes; Evolutionary spectra; Kullback-Leibler divergence; time varying autoregressions
SP  - 139
A1  - Dahlhaus, Rainer
JF  - Stochastic processes and their applications
IS  - 1
EP  - 168
VL  - 62
ER  -