Second-order properties of locally stationary processes

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

In this article, we investigate an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second-order approximation. In the case where the model is correctly specified, it is shown that appropriate modifications of the maximum likelihood estimator for Gaussian locally stationary processes is second-order asymptotically efficient. We also discuss second-order robustness properties.

Original languageEnglish
Pages (from-to)145-166
Number of pages22
JournalJournal of Time Series Analysis
Volume30
Issue number1
DOIs
Publication statusPublished - 2009 Jan 1

Keywords

  • Gaussian locally stationary process
  • Maximum likelihood estimator
  • Second-order asymptotic efficiency

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Second-order properties of locally stationary processes'. Together they form a unique fingerprint.

  • Cite this