Detecting gradual changes in locally stationary processes

DOI10.1214/14-AOS1297zbMath1312.62045arXiv1310.4678OpenAlexW3104451521MaRDI QIDQ2343960

Michael Vogt, Dette, Holger

Publication date: 11 May 2015

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

Full work available at URL: https://arxiv.org/abs/1310.4678

zbMATH Keywords

empirical processeslocal stationaritymeasure of time-variation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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