A test for stationarity based on empirical processes

DOI10.3150/12-BEJ472MaRDI QIDQ2435258zbMATH OpenFDO

Authors Mathias Vetter, Philip Preuss, Holger Dette

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

bootstrapempirical spectral measuregoodness-of-fit testsintegrated periodogramslocally stationary processesnon-stationary processesesspectral density

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)

Abstract: In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type distance between the true time varying spectral density and its best approximation through a stationary spectral density. Convergence of a time varying empirical spectral process indexed by a class of certain functions is proved, and furthermore the consistency of a bootstrap procedure is shown which is used to approximate the limiting distribution of the test statistic. Compared to other methods proposed in the literature for the problem of testing for stationarity the new approach has at least two advantages: On one hand, the test can detect local alternatives converging to the null hypothesis at any rate $g_{T}o0$ such that $g_T{T}^{1/2}oinfty$, where $T$ denotes the sample size. On the other hand, the estimator is based on only one regularization parameter while most alternative procedures require two. Finite sample properties of the method are investigated by means of a simulation study, and a comparison with several other tests is provided which have been proposed in the literature.

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