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Bootstrapping the Local Periodogram of Locally Stationary Processes

โœ Scribed by Marios Sergides; Efstathios Paparoditis


Book ID
111040044
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
961 KB
Volume
29
Category
Article
ISSN
0143-9782

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## ABSTRACT This paper develops a state space framework for the statistical analysis of a class of locally stationary processes. The proposed Kalman filter approach provides a numerically efficient methodology for estimating and predicting locally stationary models and allows for the handling of mi