Fourier-type monitoring procedures for strict stationarity
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Publication:2417453
DOI10.1007/978-3-319-96941-1_22zbMATH Open1414.62373arXiv1908.10191OpenAlexW2921862923MaRDI QIDQ2417453
Author name not available (Why is that?)
Publication date: 12 June 2019
Abstract: We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical characteristic function. Asymptotic as well as Monte Carlo results are presented. The new methods are also employed in order to test for possible stationarity breaks in time-series data from the financial sector.
Full work available at URL: https://arxiv.org/abs/1908.10191
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