On the Kullback-Leibler information divergence of locally stationary processes

被引：165

作者：

Dahlhaus, R

机构：

[1] Universität Heidelberg, Inst. F. Angewandte Mathematik, 69120 Heidelberg

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1996年 / 62卷 / 01期

关键词：

locally stationary processes; evolutionary spectra; Kullback-Leibler divergence; time varying autoregressions;

D O I：

10.1016/0304-4149(95)00090-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A class of processes with a time varying spectral representation is established. As an example we study time varying autoregressions. Several results on the asymptotic norm behaviour and trace behaviour of covariance matrices of such processes are derived. As a consequence we prove a Kolmogorov formula for the local prediction error and calculate the asymptotic Kullback-Leibler information divergence.

引用

页码：139 / 168

页数：30

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