Testing temporal constancy of the spectral structure of a time series

DOI10.3150/08-BEJ179zbMath1200.62049arXiv1001.2122MaRDI QIDQ605893

Efstathios Paparoditis

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.2122

zbMATH Keywords

testing; non-stationary processes; time-varying spectral density; local periodogram

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

Related Items

Testing for white noise against locally stationary alternatives, A test for second-order stationarity of a time series based on the discrete Fourier transform, Case study: shipping trend estimation and prediction via multiscale variance stabilisation, A nonparametric test for stationarity in functional time series, A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN, Autoregressive approximations to nonstationary time series with inference and applications, A portmanteau-type test for detecting serial correlation in locally stationary functional time series, Factor modeling of multivariate time series: a frequency components approach, Predictive, finite-sample model choice for time series under stationarity and non-stationarity, An updated review of goodness-of-fit tests for regression models, Discriminating between long-range dependence and non-stationarity, Testing temporal constancy of the spectral structure of a time series, Detecting Markov random fields hidden in white noise, Wavelet testing for a replicate-effect within an ordered multiple-trial experiment, Testing for stationarity of functional time series in the frequency domain, A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics, A test for second order stationarity of a multivariate time series, Testing equality of spectral densities using randomization techniques, A stationarity test on Markov chain models based on marginal distribution, A test for stationarity based on empirical processes, Nonparametric specification for non-stationary time series regression, Local inference for locally stationary time series based on the empirical spectral measure, On Local Power Properties of Frequency Domain‐based Tests for Stationarity, Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity, A Spectral Domain Test for Stationarity of Spatio‐Temporal Data, Thick Pen Transformation for Time Series, TESTING FOR STRUCTURAL CHANGE IN TIME-VARYING NONPARAMETRIC REGRESSION MODELS, Testing for Stationarity in Multivariate Locally Stationary Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing temporal constancy of the spectral structure of a time series
• Current developments in time series modelling
• A Bayesian analysis of the minimum AIC procedure
• Time series: theory and methods.
• On bootstrapping kernel spectral estimates
• Testing and estimating in the change-point problem of the spectral function
• Fitting time series models to nonstationary processes
• Adaptive covariance estimation of locally stationary processes
• Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
• A Wavelet-Based Test for Stationarity
• Testing and estimating change-points in time series
• DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
• Asymptotic Statistics
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Testing Composite Hypotheses for Locally Stationary Processes
• Structural Break Estimation for Nonstationary Time Series Models