%0 Generic
%A Dahlhaus, Rainer
%C Heidelberg
%D 1997
%F heidok:21356
%K Nonstationary processes; time series; evolutionary spectra; minimum distance estimates; model selection
%R 10.11588/heidok.00021356
%T Fitting Time Series Models to Nonstationary Processes
%U https://archiv.ub.uni-heidelberg.de/volltextserver/21356/
%X A general minimum distance estimation procedure is presented fornonstationary time series models that have an evolutionary spectralrepresentation. The asymptotic properties of the estimate is derived underthe assumption of possible model misspecification. For autoregressiveprocesses with time varying coefficients the estimate is compared to theleast squares estimate. Furthermore, the behaviour of estimates isexplained when a stationary model is fitted to a nonstationary process.
%Z auch erschienen in: The Annals of Statistics (1997), Vol. 25, No. I, 1-37