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Locally Stationary Processes - An Overview

Dahlhaus, R (Universitšt Heidelberg)
Monday 13 January 2014, 11:35-12:35

Seminar Room 1, Newton Institute


The talk gives an overview on locally stationary processes. After summarizing the basic models and techniques we discuss in more detail the likelihood theory for locally stationary processes and empirical process theory for the theoretical treatment of statistical inference. We also present a Taylor type expansion for locally stationary processes in terms of so called derivative processes and show how these techniques can be used for investigating the statistical properties of estimators.

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