Measuring stationarity in long-memory processes
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Publication:3465107
DOI10.5705/ss.2014.039zbMath1419.62249arXiv1303.3482MaRDI QIDQ3465107
Kemal Sen, Philip Preuss, Dette, Holger
Publication date: 28 January 2016
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1303.3482
bootstrap; goodness-of-fit tests; non-stationary processes; spectral density; long-memory; integrated periodogram; empirical spectral measure; locally stationary process
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
60G10: Stationary stochastic processes
62M15: Inference from stochastic processes and spectral analysis
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