Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...
