142 citations · 198 across the 8 of their papers we have counts for
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stat.ME2013★ 48 cited
Detecting gradual changes in locally stationary processes
Michael Vogt, Holger Dette
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are…
math.ST2013★ 142 cited
Nonparametric regression for locally stationary time series
Michael Vogt
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extens…