EconPapers    
Economics at your fingertips  
 

On the Kullback-Leibler information divergence of locally stationary processes

Rainer Dahlhaus ()

Stochastic Processes and their Applications, 1996, vol. 62, issue 1, 139-168

Abstract: A class of processes with a time varying spectral representation is established. As an example we study time varying autoregressions. Several results on the asymptotic norm behaviour and trace behaviour of covariance matrices of such processes are derived. As a consequence we prove a Kolmogorov formula for the local prediction error and calculate the asymptotic Kullback-Leibler information divergence.

Keywords: Locally; stationary; processes; Evolutionary; spectra; Kullback-Leibler; divergence; time; varying; autoregressions (search for similar items in EconPapers)
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(95)00090-9
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-03-31
Handle: RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168