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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
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Handle: RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168