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Second‐order properties of locally stationary processes

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  • Kenichiro Tamaki

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.

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  • Kenichiro Tamaki, 2009. "Second‐order properties of locally stationary processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 145-166, January.
    • Handle: RePEc:bla:jtsera:v:30:y:2009:i:1:p:145-166
    DOI: 10.1111/j.1467-9892.2008.00605.x
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    References listed on IDEAS

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    1. 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.
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