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Details about Rainer Dahlhaus

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Homepage:http://math.uni-heidelberg.de/stat/people/dahlhaus/Dahlhaus.html
Workplace:Universität Heidelberg

Access statistics for papers by Rainer Dahlhaus.

Last updated 2015-07-08. Update your information in the RePEc Author Service.

Short-id: pda141


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Working Papers

1997

  1. Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (13)

Journal Articles

2013

  1. Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
    Journal of Financial Econometrics, 2013, 12, (1), 174-212 Downloads View citations (2)

2012

  1. Frequency and phase estimation in time series with quasi periodic components
    Journal of Time Series Analysis, 2012, 33, (1), 13-31 Downloads

2009

  1. Local inference for locally stationary time series based on the empirical spectral measure
    Journal of Econometrics, 2009, 151, (2), 101-112 Downloads View citations (5)

2006

  1. Diagnostic Checks in Time Series by W.K. Li
    Biometrics, 2006, 62, (1), 308-309 Downloads
  2. Semiparametric estimation by model selection for locally stationary processes
    Journal of the Royal Statistical Society Series B, 2006, 68, (5), 721-746 Downloads View citations (6)

2004

  1. Generalized Levinson-Durbin and Burg algorithms
    Journal of Econometrics, 2004, 118, (1-2), 129-149 Downloads View citations (27)

2001

  1. Locally adaptive fitting of semiparametric models to nonstationary time series
    Stochastic Processes and their Applications, 2001, 91, (2), 277-308 Downloads View citations (2)

1996

  1. On the Kullback-Leibler information divergence of locally stationary processes
    Stochastic Processes and their Applications, 1996, 62, (1), 139-168 Downloads View citations (31)

1992

  1. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1992, 39, (1), 56-66 Downloads

1989

  1. Convergence results for maximum likelihood type estimators in multivariable ARMA models II
    Journal of Multivariate Analysis, 1989, 30, (2), 241-244 Downloads View citations (1)

1988

  1. Empirical spectral processes and their applications to time series analysis
    Stochastic Processes and their Applications, 1988, 30, (1), 69-83 Downloads View citations (7)

1985

  1. A functional limit theorem for tapered empirical spectral functions
    Stochastic Processes and their Applications, 1985, 19, (1), 135-149 Downloads
  2. Asymptotic normality of spectral estimates
    Journal of Multivariate Analysis, 1985, 16, (3), 412-431 Downloads View citations (10)
 
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