Publications

Prediction in Locally Stationary Time Series

Dette, H. and Wu, W.

JOURNAL OF BUSINESS AND ECONOMIC STATISTICS
Volume: Pages:
DOI: 10.1080/07350015.2020.1819296
Published: 2020

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 nonstationary 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. Supplementary materials for this article are available online. © 2020 American Statistical Association.

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