Weighted Dickey-Fuller processes for detecting stationarity (Q2455422)

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Language	Label	Description	Also known as
English	Weighted Dickey-Fuller processes for detecting stationarity	scientific article

Statements

scholarly article

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Weighted Dickey-Fuller processes for detecting stationarity (English)

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Journal of Statistical Planning and Inference

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publication date

24 October 2007

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full work available at URL

https://arxiv.org/abs/1001.1833

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zbMATH Keywords

autoregressive unit root

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change point

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control chart

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nonparametric smoothing

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sequential analysis

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robustness

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MaRDI profile type

MaRDI publication profile

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Asymptotic inference for nearly nonstationary AR(1) processes

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Limiting distributions of least squares estimates of unstable autoregressive processes

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Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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Co-Integration and Error Correction: Representation, Estimation, and Testing

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The calculation of the limiting distribution of the least squares estimator of the parameter in a random walk model

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Nonparametric detection of changepoints for sequentially observed data

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Nonparametric tests for nonstandard change-point problems

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STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

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Gradual changes versus abrupt changes.

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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On the Absolute Continuity of Distributions of Functionals of Random Processes

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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On detecting jumps in time series: nonparametric setting

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Time Series Regression with a Unit Root

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Asymptotic distribution of an estimator of the boundary parameter of an unstable process

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Sequential control of time series by functionals of kernel-weighted empirical processes under local alternatives

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Optimal sequential kernel detection for dependent processes

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Random Walks with Drift – A Sequential Approach

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MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY

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Weak convergence and empirical processes. With applications to statistics

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The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

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A CUSUM test for cointegration using regression residuals

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Moment bounds for stationary mixing sequences

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JSPI.2007.04.018

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Sitelinks

Mathematics(1 entry)

mardi Publication:2455422

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