717 citations · 1.1k across the 4 of their papers we have counts for
4 papers
Empirical spectral processes for locally stationary time series
Rainer Dahlhaus, Wolfgang Polonik
A time-varying empirical spectral process indexed by classes of functions is defined for locally stationary time series. We derive weak convergence in a function space, and prove a…
A recursive online algorithm for the estimation of time-varying ARCH parameters
Rainer Dahlhaus, Suhasini Subba Rao
In this paper we propose a recursive online algorithm for estimating the parameters of a time-varying ARCH process. The estimation is done by updating the estimator at time point $…
Statistical inference for time-varying ARCH processes
Rainer Dahlhaus, Suhasini Subba Rao
In this paper the class of ARCH models is generalized to the nonstationary class of ARCH models with time-varying coefficients. For fixed time points, a station…
Correction. Efficient parameter estimation for self-similar processes
Rainer Dahlhaus
Correction to The Annals of Statistics (1989) 17 1749--1766 [URL: http://links.jstor.org/sici?sici=0090-5364%28198912%2917%3A4%3C1749%3AEPEFSP%3E 2.0.CO%3B2-9]