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

DOI10.1214/16-EJS1127zbMath1419.62256OpenAlexW2305977032MaRDI 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 pointsnonstationary processesabrupt and smooth changeslocal linear estimationnonparametric hypothesis testingnonparametric jump detection

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

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