On some nonstationary, nonlinear random processes and their stationary approximations

By S. Rao. 2006

62 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d18a91ecbdeb033cf0a1b88a68448114b40cce66

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Citations in the corpus

Detecting gradual changes in locally stationary processes (2013, background): “Analogous model formulations can be found for example in Subba Rao (2004) and Atak et al. (2011).”
Normalized least-squares estimation in time-varying ARCH models (2008, background): “2 in Subba Rao (2006), where it was shown that {X̃2 t (u)}t can be regarded as a stationary approximation of the nonstationary process {X2 t,N }t about u ≈ t/N , which is why {Xt,N }t can be regarded as a locally stationary process.”
Towards a general theory for nonlinear locally stationary processes (2017, background): “Subba Rao, S. (2006)): With some parameter functions ai(·), i = 0, .”
Quantile spectral analysis for locally stationary time series (2014, background): “Dahlhaus and Polonik (2006) defined a TVMA.”
Non‐parametric detection and estimation of structural change (2012, unknown): “Sufficient conditions for (A.1) when Xn,t solves a nonlinear model can be found in Kristensen (2011) and Subba Rao (2006).”
A test for second order stationarity of a multivariate time series (2015, methodology): “As in the stationary case, it can be shown that several nonlinear time series satisfy Assumption 2.3 (L1) (cf. Fryzlewicz and Subba Rao (2011) and Vogt (2012) who derive sufficient conditions for α-mixing of a general class of nonstationary time series.”
Locally Stationary Processes (2011, background): “The proof of (i) is standard – cf. the proof of Theorem 2 in Dahlhaus and Subba Rao (2006).”