Empirical spectral processes for locally stationary time series

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A time-varying empirical spectral process indexed by classes of functions is defined for locally stationary time series. We derive weak convergence in a function space, and prove a maximal exponential inequality and a Glivenko--Cantelli-type convergence result. The results use conditions based on the metric entropy of the index class. In contrast to related earlier work, no Gaussian assumption is made. As applications, quasi-likelihood estimation, goodness-of-fit testing and inference under model misspecification are discussed. In an extended application, uniform rates of convergence are derived for local Whittle estimates of the parameter curves of locally stationary time series models.
Published in at http://dx.doi.org/10.3150/08-BEJ137 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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Statistics Theory

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http://salesiana.dossiersoluciones.com/handle/123456789/219129

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0902.1448
 http://arxiv.org/abs/0902.1448
 Bernoulli 2009, Vol. 15, No. 1, 1-39
 doi:10.3150/08-BEJ137

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arXiv