Second Order Properties of Locally Stationary Processes
نویسنده
چکیده
In this paper we investigate an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second order approximation. In the case where the model is correctly specified, it is shown that appropriate modifications of the maximum likelihood estimator for Gaussian locally stationary processes is second order asymptotically efficient. We discuss second order robustness properties.
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