A new approximation to the Gaussian likelihood of a multivariate
locally stationary process is introduced. It is based on an approximation of
the inverse of the covariance matrix of such processes. The new quasi
likelihood is a generalization of the classical Whittle likelihood for
stationary processes. Several approximation results are proved for the
likelihood function. For parametric models, asymptotic normality and efficiency
of the resulting estimator are derived for Gaussian locally stationary
processes.
Publié le : 2000-12-14
Classification:
Locally stationary,
Whittle likelihood,
local likelihood,
preperiodogram,
generalized Toeplitz matrices,
62M10,
62F10
@article{1015957480,
author = {Dahlhaus, Rainer},
title = {A likelihood approximation for locally stationary
processes},
journal = {Ann. Statist.},
volume = {28},
number = {3},
year = {2000},
pages = { 1762-1794},
language = {en},
url = {http://dml.mathdoc.fr/item/1015957480}
}
Dahlhaus, Rainer. A likelihood approximation for locally stationary
processes. Ann. Statist., Tome 28 (2000) no. 3, pp. 1762-1794. http://gdmltest.u-ga.fr/item/1015957480/