Testing semiparametric hypotheses in locally stationary processes

DOI10.1111/J.1467-9469.2012.00819.XzbMATH Open1364.62108OpenAlexW2126202774MaRDI QIDQ2852620FDOQ2852620

Authors: Mathias Vetter, Philip Preuss, Holger Dette 

Publication date: 9 October 2013

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

Full work available at URL: http://hdl.handle.net/2003/27663

Recommendations

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• A measure of stationarity in locally stationary processes with applications to testing

zbMATH Keywords

bootstrapsemiparametric modelsspectral densitygoodness-of-fit testsintegrated periodogramlocally stationary processesnon-stationary processes\(L_{2}\)-distance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cites Work

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• A Note on a Specification Test for Time Series Models Based on Spectral Density Estimation

Cited In (14)

• Frequency domain tests of semiparametric hypotheses for locally stationary process
• Data-Adaptive Estimation of Time-Varying Spectral Densities
• Testing Composite Hypotheses for Locally Stationary Processes
• A test for stationarity based on empirical processes
• Time series clustering using the total variation distance with applications in oceanography
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• Testing for stationarity in multivariate locally stationary processes
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Title not available (Why is that?)
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• Locally asymptotically optimal tests in semiparametric generalized linear models in the 2-sample-problem
• A note on testing hypotheses for stationary processes in the frequency domain
• COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES

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