Second‐order properties of locally stationary processes

Kenichiro Tamaki

Journal of Time Series Analysis, 2009, vol. 30, issue 1, 145-166

Abstract: Abstract. In this article, we investigate an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second‐order approximation. In the case where the model is correctly specified, it is shown that appropriate modifications of the maximum likelihood estimator for Gaussian locally stationary processes is second‐order asymptotically efficient. We also discuss second‐order robustness properties.

Date: 2009
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https://doi.org/10.1111/j.1467-9892.2008.00605.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:1:p:145-166

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