Measuring stationarity in long-memory processes

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

zbMATH Keywords

bootstrap; goodness-of-fit tests; non-stationary processes; spectral density; long-memory; integrated periodogram; empirical spectral measure; locally stationary process

Mathematics Subject Classification ID

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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