Semiparametric estimation by model selection for locally stationary processes
AbstractOver recent decades increasingly more attention has been paid to the problem of how to fit a parametric model of time series with time-varying parameters. A typical example is given by autoregressive models with time-varying parameters. We propose a procedure to fit such time-varying models to general non-stationary processes. The estimator is a maximum Whittle likelihood estimator on sieves. The results do not assume that the observed process belongs to a specific class of time-varying parametric models. We discuss in more detail the fitting of time-varying AR("p") processes for which we treat the problem of the selection of the order "p", and we propose an iterative algorithm for the computation of the estimator. A comparison with model selection by Akaike's information criterion is provided through simulations. Copyright 2006 Royal Statistical Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).
Volume (Year): 68 (2006)
Issue (Month): 5 ()
Contact details of provider:
Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-7412
More information through EDIRC
Other versions of this item:
- Dahlhaus, Rainer & Van Bellegem, Sébastien, 2006. "Semiparametric estimation by model selection for locally stationary processes," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
- Van Bellegem, Sébastien, 2008.
"Locally adaptive estimation of evolutionary wavelet spectra,"
Open Access publications from UniversitÃ© catholique de Louvain
info:hdl:2078.1/23811, Université catholique de Louvain.
- Van Bellegem, Sébastien & Von Sachs, Rainer, 2008. "Locally adaptive estimation of evolutionary wavelet spectra," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Dahlhaus, Rainer & Neumann, Michael H., 2001. "Locally adaptive fitting of semiparametric models to nonstationary time series," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 277-308, February.
- Dahlhaus, R., 1996. "On the Kullback-Leibler information divergence of locally stationary processes," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 139-168, March.
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Idris A. Eckley & Guy P. Nason, . "LS2W: Implementing the Locally Stationary 2D Wavelet Process Approach in R," Journal of Statistical Software, American Statistical Association, vol. 43(i03).
- Dahlhaus, Rainer, 2009. "Local inference for locally stationary time series based on the empirical spectral measure," Journal of Econometrics, Elsevier, vol. 151(2), pages 101-112, August.
- Jan Beran, 2007. "On parameter estimation for locally stationary long-memory processes," CoFE Discussion Paper 07-13, Center of Finance and Econometrics, University of Konstanz.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.