Details about Rainer Dahlhaus

Access statistics for papers by Rainer Dahlhaus.

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Short-id: pda141

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 (21)

Journal Articles

2017

1. Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
   Journal of Time Series Analysis, 2017, 38, (2), 225-242 View citations (13)

2014

2. Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
   Journal of Financial Econometrics, 2014, 12, (1), 174-212 View citations (5)
   Also in Journal of Financial Econometrics, 2013, 12, (1), 174-212 (2013) View citations (3)

2012

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

2009

4. Local inference for locally stationary time series based on the empirical spectral measure
   Journal of Econometrics, 2009, 151, (2), 101-112 View citations (18)

2006

5. Diagnostic Checks in Time Series by W.K. Li
   Biometrics, 2006, 62, (1), 308-309
6. Semiparametric estimation by model selection for locally stationary processes
   Journal of the Royal Statistical Society Series B, 2006, 68, (5), 721-746 View citations (9)

2004

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

2001

8. Locally adaptive fitting of semiparametric models to nonstationary time series
   Stochastic Processes and their Applications, 2001, 91, (2), 277-308 View citations (7)

2000

9. Hidden Frequency Estimation with Data Tapers
   Journal of Time Series Analysis, 2000, 21, (2), 113-142 View citations (3)

1998

10. On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
    Journal of Time Series Analysis, 1998, 19, (6), 629-655 View citations (13)

1996

11. On the Kullback-Leibler information divergence of locally stationary processes
    Stochastic Processes and their Applications, 1996, 62, (1), 139-168 View citations (74)

1992

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

1989

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

1988

14. Empirical spectral processes and their applications to time series analysis
    Stochastic Processes and their Applications, 1988, 30, (1), 69-83 View citations (14)

1985

15. A functional limit theorem for tapered empirical spectral functions
    Stochastic Processes and their Applications, 1985, 19, (1), 135-149
16. Asymptotic normality of spectral estimates
    Journal of Multivariate Analysis, 1985, 16, (3), 412-431 View citations (17)
17. ON THE ASYMPTOTIC DISTRIBUTION OF BARTLETT'S Up‐STATISTIC
    Journal of Time Series Analysis, 1985, 6, (4), 213-227

1983

18. SPECTRAL ANALYSIS WITH TAPERED DATA
    Journal of Time Series Analysis, 1983, 4, (3), 163-175 View citations (17)