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Local inference for locally stationary time series based on the empirical spectral measure

Rainer Dahlhaus *
* Corresponding author
Abstract : The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied - both when its index function is fixed or dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and spectral density estimation.
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Rainer Dahlhaus. Local inference for locally stationary time series based on the empirical spectral measure. Econometrics, MDPI, 2009, 151 (2), pp.101. ⟨10.1016/j.jeconom.2009.03.002⟩. ⟨hal-00577962⟩

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