Authors: Dette, Holger
Wu, Weichi
Title: Prediction in locally stationary time series
Language (ISO): en
Abstract: We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the currently available methods for this problem the predictor developed here does not rely on fitting an autoregressive model and does not require a vanishing trend. The finite sample properties of the new methodology are illustrated by means of a simulation study and a data example.
Subject Headings: locally stationary time series
high dimensional auto-covariance
local linear regression
Issue Date: 2020
Appears in Collections:Sonderforschungsbereich (SFB) 823

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