Testing for Stationarity in Multivariate Locally Stationary Processes

DOI10.1111/jtsa.12133zbMath1329.62385arXiv1312.1509OpenAlexW1759344326MaRDI QIDQ3466883

Ruprecht Puchstein, Philip Preuss

Publication date: 25 January 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.1509

zbMATH Keywords

locally stationary processesspectral densitygoodness-of-fit testintegrated periodogramempirical spectral measure

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity ⋮ Inference for high‐dimensional linear models with locally stationary error processes ⋮ A Spectral Domain Test for Stationarity of Spatio‐Temporal Data ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

Uses Software

• SLEX

Cites Work

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