On the Kullback-Leibler information divergence of locally stationary processes-Reference-Cited by-同舟云学术

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On the Kullback-Leibler information divergence of locally stationary processes

Published:1996-03 Issue:1 Volume:62 Page:139-168
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Dahlhaus R.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference24 articles.

1. Time Series: Theory and Methods;Brockwell,1987

2. Time-frequency distributions — a review;Cohen,1989

3. Fitting time series models to nonstationary processes;Dahlhaus,1993

4. Maximum likelihood estimation and model selection for nonstationary processes;Dahlhaus;J. Nonparametric Statist,1996

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