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Abstract Details
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Activity Number:
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309
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Type:
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Contributed
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Date/Time:
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Tuesday, August 2, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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| Abstract - #301909 |
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Title:
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On the Estimation of Locally Stationary Processes
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Author(s):
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Wilfredo Palma*+
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Companies:
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Pontificia Universidad Católica de Chile
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Address:
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, , ,
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Keywords:
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Locally stationary ;
Estimation ;
Consistency ;
Normality ;
Simulations ;
Applications
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Abstract:
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This talk addresses the estimation of locally stationary processes. A time-varying parametric formulation of these models is discussed and maximum likelihood techniques are proposed for estimating the parameters involved. Large sample properties of some of these estimates such as consistency, normality and efficiency are established. Furthermore, the finite sample behavior of the estimators is investigated through Monte Carlo experiments. As a result from these simulations, we show that the estimates behave well even for relatively small sample sizes. Several real-life data applications are also presented.
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Authors who are presenting talks have a * after their name.
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