Testing for stationarity in multivariate locally stationary processes
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Publication:3466883
DOI10.1111/JTSA.12133zbMATH Open1329.62385arXiv1312.1509OpenAlexW1759344326MaRDI QIDQ3466883FDOQ3466883
Authors: Ruprecht Puchstein, Philip Preuss 
Publication date: 25 January 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Abstract: In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assisted test based on a Kolmogorov-Smirnov type statistic, which tracks the deviation of the time varying spectral density from its best stationary approximation. In contrast to all other nonparametric approaches, which have been proposed in the literature so far, the test statistic does not depend on any regularization parameters like smoothing bandwidths or a window length, which is usually required in a segmentation of the data. We additionally show how our new procedure can be used to identify the components where non-stationarities occur and indicate possible extensions of this innovative approach. We conclude with an extensive simulation study, which shows finite sample properties of the new method and contains a comparison with existing approaches.
Full work available at URL: https://arxiv.org/abs/1312.1509
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goodness-of-fit testspectral densityintegrated periodogramlocally stationary processesempirical spectral measure
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (20)
- A measure of stationarity in locally stationary processes with applications to testing
- Multivariate trend function testing with mixed stationary and integrated disturbances
- Validating stationarity assumptions in time series analysis by rolling local periodograms
- Inference for high‐dimensional linear models with locally stationary error processes
- Detecting departures from meta-ellipticity for multivariate stationary time series
- A spectral domain test for stationarity of spatio-temporal data
- A test for stationarity based on empirical processes
- Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
- A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
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- Simultaneous statistical inference for second order parameters of time series under weak conditions
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- A test for second-order stationarity of time series based on unsystematic sub-samples
- Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
- A test for second order stationarity of a multivariate time series
- COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
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