Lookup NU author(s): Professor Emilio Porcu
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© 2018 Informa UK Limited, trading as Taylor & Francis Group. We study the asymptotic properties of the least-squares estimator for the trend function of a particular class of locally stationary models, which are defined by considering a smooth variation of the trend function. Additionally, errors are assumed to be realizations from a long-range dependent stationary Gaussian process. Our findings are then illustrated through Monte Carlo simulations.
Author(s): Ferreira G, Pina N, Porcu E
Publication type: Article
Publication status: Published
Journal: Journal of Statistical Computation and Simulation
Online publication date: 02/05/2018
Acceptance date: 14/04/2018
ISSN (print): 0094-9655
ISSN (electronic): 1563-5163
Publisher: Taylor and Francis Ltd
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