A frequency domain test for detecting nonstationary time series

DOI10.1016/J.CSDA.2014.02.006MaRDI QIDQ1623488zbMATH OpenOpenAlexFDO

Authors Nan-Jung Hsu, Yen Hung Chen

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2014.02.006

zbMATH Keywords

local polynomial estimationlog-periodogram regressionfractionally exponential modellocal periodogram estimate

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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• Smoothing Spline ANOVA for Time-Dependent Spectral Analysis
• Structural Break Estimation for Nonstationary Time Series Models
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing Composite Hypotheses for Locally Stationary Processes
• Testing for a change of the long-memory parameter
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Validating stationarity assumptions in time series analysis by rolling local periodograms

Cited in

(13)

• A Sequential and Iterative Testing Procedure to Identify the Nature of a Time Series Generating Process
• Comparative analysis of detection methods of non-stationarity in time series
• Comparison of non-stationary time series in the frequency domain
• On local power properties of frequency domain-based tests for stationarity
• A multi-scale approach for testing and detecting peaks in time series
• Global and local spectral-based tests for periodicities
• Testing for stationarity of functional time series in the frequency domain
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Knowledge discovery in data streams with the orthogonal series-based generalized regression neural networks
• A test for second-order stationarity of a time series based on the discrete Fourier transform
• A frequency-domain based test for non-correlation between stationary time series
• A Frequency Domain Test for Propriety of Complex-Valued Vector Time Series
• A New Nonstationarity Detector

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Uses Software

• longmemo

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