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Inference for non-stationary time-series autoregression

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  • Zhou Zhou

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  • Zhou Zhou, 2013. "Inference for non-stationary time-series autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 508-516, July.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:4:p:508-516
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    File URL: http://hdl.handle.net/10.1111/jtsa.12028
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    References listed on IDEAS

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    1. Piotr Fryzlewicz & Guy P. Nason, 2006. "Haar–Fisz estimation of evolutionary wavelet spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(4), pages 611-634, September.
    2. Zhou Zhou & Wei Biao Wu, 2010. "Simultaneous inference of linear models with time varying coefficients," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(4), pages 513-531, September.
    3. Fryzlewicz, Piotr & Nason, Guy P., 2006. "Haar-Fisz estimation of evolutionary wavelet spectra," LSE Research Online Documents on Economics 25227, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Holger Dette & Weichi Wu, 2020. "Prediction in locally stationary time series," Papers 2001.00419, arXiv.org, revised Jan 2020.
    2. Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.

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