A likelihood approximation for locally stationary processes
A likelihood approximation for locally stationary processes
复制标题
DOI：
10.1214/aos/1015957480
复制
发表时间：
2000-12-01
影响因子：
4.5
通讯作者：
Dahlhaus, R
中科院分区：
文献类型：
--
作者：
Dahlhaus, R
本文介绍了一种新的多元局部平稳过程的高斯似然逼近。它是基于这样的过程的协方差矩阵的逆的近似。新的拟似然是平稳过程经典Whittle似然的推广。几个近似结果证明了似然函数。对于参数模型，高斯局部平稳过程的估计的渐近正态性和效率。
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.