Records Properties of Non Stationary Time Series

DOI10.1080/03610910902923487MaRDI QIDQ3391876zbMATH OpenOpenAlexFDO

Authors Ana E. Sipols, M. T. Santos-Martín, Clara Simón de Blas

Publication date 13 August 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910902923487

zbMATH Keywords

renewal theoryintegrated time seriesextreme order statisticsDickey Fuller

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3879921 (Why is no real title available?)
• scientific article; zbMATH DE number 4109747 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Breaking Records and Breaking Boards
• Extremal theory for stochastic processes
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• Rank tests for unit roots
• Record values and inter-record times
• Record values and maxima
• Records from improving populations
• Stability results for nonlinear error correction models

Cited in

(2)

• Distribution of record times for random walk processes
• Records from stationary observations subject to a random trend

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