Transformation to approximate independence for locally stationary Gaussian processes

摘要

We provide new approximations for the likelihood of a time series under the locally stationary Gaussian process model. The likelihood approximations are valid even in cases when the evolutionary spectrum is not smooth in the rescaled time domain. We describe a broad class of models for the evolutionary spectrum for which the approximations can be computed particularly efficiently. In developing the approximations, we extend to the locally stationary case the idea that the discrete Fourier transform is a decorrelating transformation for stationary time series. The approximations are applied to fit non-stationary time-series models to high-frequency temperature data. For these data, we fit evolutionary spectra that are piecewise constant in time and use a genetic algorithm to search for the best partition of the time interval.