In this article, we define a spatio-temporal model with location-dependent parameters to describe temporal variation and spatial nonstationarity. We consider the prediction of observations at unknown locations using known neighbouring observations. Further, we propose a local least squares-based...

We consider the estimation of parameters of a multiple regression model with nonstationary errors. We assume the nonstationary errors satisfy a time-dependent autoregressive process and describe a method for estimating the parameters of the regressors and the time-dependent autoregressive...

We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact interval to enable a meaningful estimation theory. We demonstrate that the...