A test for stationarity based on empirical processes

DOI10.3150/12-BEJ472zbMath1281.62183arXiv1312.5448MaRDI QIDQ2435258

Mathias Vetter, Dette, Holger, Philip Preuss

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5448

zbMATH Keywords

bootstrapgoodness-of-fit testslocally stationary processesspectral densityempirical spectral measureintegrated periodogramsnon-stationary processeses

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (13)

Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity ⋮ Autoregressive approximations to nonstationary time series with inference and applications ⋮ Testing for stationarity of functional time series in the frequency domain ⋮ A TEST FOR WEAK STATIONARITY IN THE SPECTRAL DOMAIN ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ A nonparametric test for stationarity in functional time series ⋮ A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ On Local Power Properties of Frequency Domain‐based Tests for Stationarity ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series ⋮ Testing equality of spectral densities using randomization techniques

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