eprintid: 20931
rev_number: 11
eprint_status: archive
userid: 2326
dir: disk0/00/02/09/31
datestamp: 2016-06-13 08:50:33
lastmod: 2016-06-14 16:10:12
status_changed: 2016-06-13 08:50:33
type: article
metadata_visibility: show
creators_name: Dahlhaus, Rainer
title: On the Kullback-Leibler Information Divergence of LocallyStationary Processes
subjects: ddc-510
divisions: i-110400
keywords: Locally stationary processes; Evolutionary spectra; Kullback-Leibler divergence; time varying autoregressions
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.
date: 1996
publisher: Elsevier
id_scheme: DOI
id_number: 10.11588/heidok.00020931
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 27
ppn_swb: 1657170209
own_urn: urn:nbn:de:bsz:16-heidok-209315
language: eng
bibsort: DAHLHAUSRAONTHEKULLB1996
full_text_status: public
publication: Stochastic processes and their applications
volume: 62
number: 1
place_of_pub: Amsterdam
pagerange: 139-168
issn: 0304-4149
citation:   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     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20931/1/beitrag.27.pdf