Mode Identification of Volatility in Time-Varying Autoregression

DOI10.1080/01621459.2012.703877zbMath1356.62134OpenAlexW2051742826MaRDI QIDQ4648567

Wolfgang Polonik, Gabriel Chandler

Publication date: 9 November 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.703877

zbMATH Keywords

time seriesmodalitylocal stationarity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity

Uses Software

• ftnonpar

Cites Work

• Unnamed Item
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• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional

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