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Rainer Dahlhaus

Personal Details

First Name:Rainer
Middle Name:
Last Name:Dahlhaus
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RePEc Short-ID:pda141
https://stat.math.uni-heidelberg.de/~rdahlhaus/

Affiliation

Universität Heidelberg (University of Heidelberg)

http://www.uni-heidelberg.de/
Germany

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dahlhaus, R. & Neumann, M. & Von Sachs, R., 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck, 2017. "Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 225-242, March.
  2. Rainer Dahlhaus & Jan C. Neddermeyer, 2013. "Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 174-212, December.
  3. Konstantinos Paraschakis & Rainer Dahlhaus, 2012. "Frequency and phase estimation in time series with quasi periodic components," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 13-31, January.
  4. 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.
  5. Sébastien Van Bellegem & Rainer Dahlhaus, 2006. "Semiparametric estimation by model selection for locally stationary processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(5), pages 721-746, November.
  6. Rainer Dahlhaus, 2006. "Diagnostic Checks in Time Series by W.K. Li," Biometrics, The International Biometric Society, vol. 62(1), pages 308-309, March.
  7. Brockwell, P. J. & Dahlhaus, R., 2004. "Generalized Levinson-Durbin and Burg algorithms," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 129-149.
  8. 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.
  9. Zhao‐Guo Chen & Ka Ho Wu & Rainer Dahlhaus, 2000. "Hidden Frequency Estimation with Data Tapers," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(2), pages 113-142, March.
  10. Rainer Dahlhaus & Liudas Giraitis, 1998. "On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(6), pages 629-655, November.
  11. 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.
  12. B. Arnold & W. Wertz & B. Pötscher & D. Voss & R. Shimizu & R. Dahlhaus & M. Leitner & O. Krafft & G. Pflug, 1992. "Book reviews," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 39(1), pages 56-66, December.
  13. Dahlhaus, R. & Pötscher, B. M., 1989. "Convergence results for maximum likelihood type estimators in multivariable ARMA models II," Journal of Multivariate Analysis, Elsevier, vol. 30(2), pages 241-244, August.
  14. Dahlhaus, Rainer, 1988. "Empirical spectral processes and their applications to time series analysis," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 69-83, November.
  15. Dahlhaus, Rainer, 1985. "Asymptotic normality of spectral estimates," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 412-431, June.
  16. Dahlhaus, Rainer, 1985. "A functional limit theorem for tapered empirical spectral functions," Stochastic Processes and their Applications, Elsevier, vol. 19(1), pages 135-149, February.
  17. Rainer Dahlhaus, 1985. "ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S Up‐STATISTIC," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(4), pages 213-227, July.
  18. Rainer Dahlhaus, 1983. "Spectral Analysis With Tapered Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 163-175, May.

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