Testing for jumps in the presence of smooth changes in trends of nonstationary time series

DOI10.1214/16-EJS1127zbMath1419.62256MaRDI QIDQ262694

F. Blanchet-Sadri, M. Dambrine

Publication date: 30 March 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1458323995

zbMATH Keywords

change points; nonstationary processes; abrupt and smooth changes; local linear estimation; nonparametric hypothesis testing; nonparametric jump detection

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Uses Software

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