Discriminating between long-range dependence and non-stationarity

DOI10.1214/13-EJS836zbMath1293.62201MaRDI QIDQ367214

Mathias Vetter, Philip Preuss

Publication date: 26 September 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1379596771

zbMATH Keywords

bootstraplong memoryspectral densitygoodness-of-fit testintegrated periodogramempirical spectral measurelocally stationary processnon stationary process

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 (2)

Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity

Uses Software

• longmemo

Cites Work

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