A frequency domain test for detecting nonstationary time series

DOI10.1016/j.csda.2014.02.006zbMath1506.62042OpenAlexW2048595221MaRDI QIDQ1623488

Nan-Jung Hsu, Yen Hung Chen

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.02.006

zbMATH Keywords

local polynomial estimationlog-periodogram regressionfractionally exponential modellocal periodogram estimate

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Knowledge discovery in data streams with the orthogonal series-based generalized regression neural networks

Uses Software

• longmemo

Cites Work

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