Locally stationary time series are particular examples of nonstationary time series, which are themselves special cases of time series. Before we describe locally stationary series we should first remind the reader of what a time series is and what a stationary time series is. This article will be informal, containing a minimum of mathematics, in an attempt to remain accessible for a wide readership (it is also an attempt to answer people who say: “Yes, but what does a Professor of Statistics do, all day?”)
If you have never come across time series analysis before then you might wish to read this brief introduction which is mostly about classical stationary time series.
My main research interests are in locally stationary time series. I am interested in methods of data collection, modelling, estimation and forecasting.
Some recent contributions to this field: