717 citations · 1.2k across the 10 of their papers we have counts for
14 papers
Adaptation for nonparametric estimators of locally stationary processes
Rainer Dahlhaus, Stefan Richter
Two adaptive bandwidth selection methods for nonparametric estimators in locally stationary processes are proposed. We investigate a cross validation approach and a method based on…
Cross validation for locally stationary processes
Stefan Richter, Rainer Dahlhaus
We propose an adaptive bandwidth selector via cross validation for local M-estimators in locally stationary processes. We prove asymptotic optimality of the procedure under mild co…
Towards a general theory for non-linear locally stationary processes
Rainer Dahlhaus, Stefan Richter, Wei Biao Wu
In this paper some general theory is presented for locally stationary processes based on the stationary approximation and the stationary derivative. Laws of large numbers, central…
Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Michael Eichler, Rainer Dahlhaus, Johannes Dueck
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger…
Volatility Decomposition and Estimation in Time-Changed Price Models
Rainer Dahlhaus, Sophon Tunyavetchakit
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time v…
Statistical Inference for Oscillation Processes
Rainer Dahlhaus, Thierry Dumont, Sylvain Le Corff +1
A new model for time series with a specific oscillation pattern is proposed. The model consists of a hidden phase process controlling the speed of polling and a nonparametric curve…