The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied -- both when its index function is fixed or when dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.
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Volume (Year): 151 (2009) Issue (Month): 2 (August) Pages: 101-112 Download reference. The following formats are available: HTML
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