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

bootstrap; goodness-of-fit tests; locally stationary processes; spectral density; empirical spectral measure; integrated periodograms; non-stationary processeses

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62M15: Inference from stochastic processes and spectral analysis

62M07: Non-Markovian processes: hypothesis testing

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