Testing that a Gaussian process is stationary

DOI10.1214/AOS/1176351060zbMath0653.62063OpenAlexW2051960495MaRDI QIDQ1107939

T. W. Epps

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176351060

zbMATH Keywords

time seriesasymptotic relative efficiencyempirical characteristic functionchi-squared testhomogeneity of independent processesoptimal score test

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes (62M99) Non-Markovian processes: hypothesis testing (62M07)

Related Items (10)

DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Monitoring changes in the error distribution of autoregressive models based on Fourier methods ⋮ Estimating nonlinear regression with and without change-points by the LAD method ⋮ Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function ⋮ Detection of multiple changes in a sequence of dependent variables ⋮ On the properties of the periodogram of a stationary long-memory process over different epochs with applications ⋮ Fourier–type tests involving martingale difference processes ⋮ Testing and estimating in the change-point problem of the spectral function

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