Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
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Publication:2233573
DOI10.1214/21-EJS1893zbMATH Open1476.62077arXiv2003.05006MaRDI QIDQ2233573FDOQ2233573
Authors: Yanyan Li 
Publication date: 11 October 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it is contaminated by a complex trend with both abrupt and smooth changes. Simultaneous confidence bands (SCB) with asymptotically correct coverage probabilities are constructed for the auto-covariance functions under complex trend. A simulation-assisted bootstrapping method is proposed for the practical construction of the SCB. Detailed simulation and a real data example round out our presentation.
Full work available at URL: https://arxiv.org/abs/2003.05006
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Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Nonparametric tolerance and confidence regions (62G15)
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Cited In (5)
- Autocovariance estimation in regression with a discontinuous signal and \(m\)-dependent errors: a difference-based approach
- Differencing as an approximate de-trending device
- A semiparametric covariance estimator immune to arbitrary signal drift
- Sequential Gaussian approximation for nonstationary time series in high dimensions
- Inference for non-stationary time-series autoregression
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