locally stationary processes
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scholarly journals Limit theorems for locally stationary processes

2020 ◽  
Author(s):  
Rafael Kawka
Keyword(s):  
Limit Theorems ◽  
Law Of Large Numbers ◽  
Moving Average ◽  
Stationary Processes ◽  
Time Varying ◽  
Strong Law ◽  
Large Numbers ◽  
Moving Average Representation ◽  
Locally Stationary Processes ◽  
Average Representation

Abstract We present limit theorems for locally stationary processes that have a one sided time-varying moving average representation. In particular, we prove a central limit theorem (CLT), a weak and a strong law of large numbers (WLLN, SLLN) and a law of the iterated logarithm (LIL) under mild assumptions using a time-varying Beveridge–Nelson decomposition.

scholarly journals Cross validation for locally stationary processes

2019 ◽  
Vol 47 (4) ◽  
pp. 2145-2173
Author(s):  
Stefan Richter ◽  
Rainer Dahlhaus
Keyword(s):  
Cross Validation ◽  
Stationary Processes ◽  
Locally Stationary Processes

scholarly journals Towards a general theory for nonlinear locally stationary processes

Bernoulli ◽  
2019 ◽  
Vol 25 (2) ◽  
pp. 1013-1044 ◽  
Author(s):  
Rainer Dahlhaus ◽  
Stefan Richter ◽  
Wei Biao Wu
Keyword(s):  
General Theory ◽  
Stationary Processes ◽  
Locally Stationary Processes
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