mlsanityData to 14 Oct 2026

Prediction in locally stationary time series

arXiv 2001.00419 ↗First posted 2 Jan 2020stat.ME econ.EM math.STcited by 1

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Abstract (arXiv)

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 financial indices study.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 2 Jan 2020.

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