Mode Identification of Volatility in Time-Varying Autoregression

DOI10.1080/01621459.2012.703877zbMATH Open1356.62134OpenAlexW2051742826MaRDI QIDQ4648567FDOQ4648567

Authors: Gabriel Chandler, Wolfgang Polonik 

Publication date: 9 November 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.703877

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zbMATH Keywords

time serieslocal stationaritymodality

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Local extremes, runs, strings and multiresolution. (With discussion)
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fitting time series models to nonstationary processes
• A Haar–Fisz technique for locally stationary volatility estimation
• Title not available (Why is that?)
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• The dip test of unimodality
• Testing for monotonicity of a regression mean by calibrating for linear functions.
• Testing monotonicity of regression.
• Nonparametric estimation of time varying parameters under shape restrictions
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional
• Empirical spectral processes for locally stationary time series
• Multivariate mode hunting: Data analytic tools with measures of significance
• Analysis of acoustic signatures from moving vehicles using time-varying autoregressive models

Cited In (2)

• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance

Uses Software

• ftnonpar

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