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math.PR2021
Asymptotics of time-varying processes in continuous-time using locally stationary approximations
Robert Stelzer, Bennet Ströh
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use -weak dependence to es…
math.PR2021
Continuous-time locally stationary time series models
Annemarie Bitter, Robert Stelzer, Bennet Ströh
We adapt the classical definition of locally stationary processes in discrete-time to the continuous-time setting and obtain equivalent representations in the time and frequency do…