Measuring stationarity in long-memory processes

DOI10.5705/SS.2014.039MaRDI QIDQ3465107zbMATH OpenOpenAlexFDO

Authors Kemal Sen, Philip Preuss, Holger Dette

Publication date 28 January 2016

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.3482

zbMATH Keywords

bootstrapempirical spectral measuregoodness-of-fit testsintegrated periodogramlocally stationary processlong-memorynon-stationary processesspectral density

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary process and its best approximation under the assumption of stationarity. The distance is estimated by a numerical approximation of the integrated spectral periodogram and asymptotic normality of the resulting estimate is established. The results can be used to construct a simple test for the hypothesis of stationarity in locally stationary long-range dependent processes. We also propose a bootstrap procedure to improve the approximation of the nominal level and prove its consistency. Throughout the paper, we will work with Riemann sums of a squared periodogram instead of integrals (as it is usually done in the literature) and as a by-product of independent interest it is demonstrated that the two approaches behave differently in the limit.

Recommendations

• A measure of stationarity in locally stationary processes with applications to testing
• Discriminating between long-range dependence and non-stationarity
• A test for stationarity based on empirical processes
• Detecting long-range dependence in non-stationary time series
• A nonparametric test for stationarity in functional time series

Cited in

(5)

• Minimum distance estimation of locally stationary moving average processes
• A measure of stationarity in locally stationary processes with applications to testing
• scientific article; zbMATH DE number 5183645 (Why is no real title available?)
• Discriminating between long-range dependence and non-stationarity
• Stationarity test based on density approach

This page was built for publication: Measuring stationarity in long-memory processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3465107)