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  -