Discriminating between long-range dependence and non-stationarity
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Publication:367214
DOI10.1214/13-EJS836zbMath1293.62201MaRDI QIDQ367214
Publication date: 26 September 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1379596771
bootstrap; long memory; spectral density; goodness-of-fit test; integrated periodogram; empirical spectral measure; locally stationary process; non stationary process
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
Related Items
Predictive, finite-sample model choice for time series under stationarity and non-stationarity, Testing for Stationarity in Multivariate Locally Stationary Processes
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Cites Work
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