Weighted Dickey-Fuller processes for detecting stationarity

DOI10.1016/j.jspi.2007.04.018zbMath1122.62079arXiv1001.1833OpenAlexW2025501308MaRDI QIDQ2455422

Ansgar Steland

Publication date: 24 October 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.1833

zbMATH Keywords

robustnesssequential analysisnonparametric smoothingchange pointcontrol chartautoregressive unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Sequential statistical methods (62L99) Inference from stochastic processes (62M99) Functional limit theorems; invariance principles (60F17)

Related Items (5)

Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models ⋮ Robust Sign Test for the Unit Root Hypothesis of Autoregression ⋮ Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price ⋮ A surveillance procedure for random walks based on local linear estimation ⋮ Detection of Stationary Errors in Multiple Regressions with Integrated Regressors and Cointegration

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