Change Point Analysis of Correlation in Non-stationary Time Series

DOI10.5705/ss.202016.0493zbMath1433.62257arXiv1801.10478OpenAlexW2963321683MaRDI QIDQ5226601

Zhou Zhou, Weichi Wu, Dette, Holger

Publication date: 1 August 2019

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.10478

zbMATH Keywords

change point analysislocal linear estimationsecond order structurerelevant change pointspiecewise locally stationary process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10)

Related Items (10)

Functional weak limit theorem for a local empirical process of non-stationary time series and its application ⋮ Autoregressive approximations to nonstationary time series with inference and applications ⋮ Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Efficient change point detection and estimation in high-dimensional correlation matrices ⋮ A distribution free test for changes in the trend function of locally stationary processes ⋮ Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Modified tests for change points in variance in the possible presence of mean breaks ⋮ An asymptotic test for constancy of the variance under short-range dependence ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function

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