On the Kullback-Leibler information divergence of locally stationary processes
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References listed on IDEAS
- Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc, 1978.
"Mixed autoregressive-moving average multivariate processes with time-dependent coefficients,"
Journal of Multivariate Analysis,
Elsevier, vol. 8(4), pages 567-572, December.
- Marc Hallin, 1978. "Mixed autoregressive-moving average multivariate processes with time-dependent coefficients," ULB Institutional Repository 2013/1987, ULB -- Universite Libre de Bruxelles.
- Guy Melard & Annie Herteleer, 1989. "Contributions to the evolutionary spectral theory," ULB Institutional Repository 2013/13708, ULB -- Universite Libre de Bruxelles.
More about this item
KeywordsLocally stationary processes Evolutionary spectra Kullback-Leibler divergence time varying autoregressions;
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