Towards a general theory for nonlinear locally stationary processes

• Verfasst von: Dahlhaus, Rainer [VerfasserIn]
• Verfasst von: Richter, Stefan [VerfasserIn]
• Verfasst von: Wu, Wei Biao [VerfasserIn]
• Titel: Towards a general theory for nonlinear locally stationary processes
• Verf.angabe: Rainer Dahlhaus, Stefan Richter, Wei Biao Wu
• E-Jahr: 2019
• Jahr: 6 March 2019
• Umfang: 32 S.
• Fussnoten: Gesehen am 23.05.2019
• Titel Quelle: Enthalten in: Bernoulli
• Ort Quelle: Aarhus, 1995
• Jahr Quelle: 2019
• Band/Heft Quelle: 25(2019), 2, Seite 1013-1044
• ISSN Quelle: 1573-9759
• DOI: doi:10.3150/17-BEJ1011
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: derivative processes
• Sach-SW: non-stationary processes
• K10plus-PPN: 1666226858

Abstract

In this paper, some general theory is presented for locally stationary processes based on the stationary approximation and the stationary derivative. Laws of large numbers, central limit theorems as well as deterministic and stochastic bias expansions are proved for processes obeying an expansion in terms of the stationary approximation and derivative. In addition it is shown that this applies to some general nonlinear non-stationary Markov-models. In addition the results are applied to derive the asymptotic properties of maximum likelihood estimates of parameter curves in such models.