The Annals of Statistics
- Ann. Statist.
- Volume 28, Number 6 (2000), 1762-1794.
A likelihood approximation for locally stationary processes
A new approximation to the Gaussian likelihood of a multivariate locally stationary process is introduced. It is based on an approximation of the inverse of the covariance matrix of such processes. The new quasi likelihood is a generalization of the classical Whittle likelihood for stationary processes. Several approximation results are proved for the likelihood function. For parametric models, asymptotic normality and efficiency of the resulting estimator are derived for Gaussian locally stationary processes.
Ann. Statist., Volume 28, Number 6 (2000), 1762-1794.
First available in Project Euclid: 12 March 2002
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62F10: Point estimation
Dahlhaus, Rainer. A likelihood approximation for locally stationary processes. Ann. Statist. 28 (2000), no. 6, 1762--1794. doi:10.1214/aos/1015957480. https://projecteuclid.org/euclid.aos/1015957480