Weighted Dickey-Fuller processes for detecting stationarity

DOI10.1016/J.JSPI.2007.04.018zbMATH Open1122.62079arXiv1001.1833OpenAlexW2025501308MaRDI QIDQ2455422FDOQ2455422

Ansgar Steland

Publication date: 24 October 2007

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

Abstract: Aiming at monitoring a time series to detect stationarity as soon as possible, we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller (DF) processes, and related stopping times, which may be called weighted Dickey-Fuller control charts. Under rather weak assumptions, (functional) central limit theorems are established under the unit root null hypothesis and local-to-unity alternatives. For gen- eral dependent and heterogeneous innovation sequences the limit processes depend on a nuisance parameter. In this case of practical interest, one can use estimated control limits obtained from the estimated asymptotic law. Another easy-to-use approach is to transform the DF processes to obtain limit laws which are invariant with respect to the nuisance pa- rameter. We provide asymptotic theory for both approaches and compare their statistical behavior in finite samples by simulation.

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

zbMATH Keywords

change pointrobustnesssequential analysisnonparametric smoothingcontrol chartautoregressive unit root

Mathematics Subject Classification ID

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

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Cited In (6)

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