717 citations · 1.2k across the 10 of their papers we have counts for
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math.ST2017
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…
math.ST2017
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…