Locally adaptive fitting of semiparametric models to nonstationary time series

We fit a class of semiparametric models to a nonstationary process. This class is parametrized by a mean function μ(·) and a p-dimensional function θ(·)=(θ(1)(·),…,θ(p)(·))′ that parametrizes the time-varying spectral density fθ(·)(λ). Whereas the mean function is estimated by a usual kernel estimator, each component of θ(·) is estimated by a nonlinear wavelet method. According to a truncated wavelet series expansion of θ(i)(·), we define empirical versions of the corresponding wavelet coefficients by minimizing an empirical version of the Kullback–Leibler distance. In the main smoothing step, we perform nonlinear thresholding on these coefficients, which finally provides a locally adaptive estimator of θ(i)(·). This method is fully automatic and adapts to different smoothness classes. It is shown that usual rates of convergence in Besov smoothness classes are attained up to a logarithmic factor.