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