Mode Identification of Volatility in Time-Varying Autoregression

DOI10.1080/01621459.2012.703877zbMath1356.62134MaRDI QIDQ4648567

Wolfgang Polonik, Gabriel Chandler

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

zbMATH Keywords

time series; modality; local stationarity

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M07: Non-Markovian processes: hypothesis testing

Related Items

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

Uses Software

• ftnonpar

Cites Work

• Unnamed Item
• Nonparametric estimation of time varying parameters under shape restrictions
• Empirical spectral processes for locally stationary time series
• Multivariate mode hunting: Data analytic tools with measures of significance
• The dip test of unimodality
• Fitting time series models to nonstationary processes
• Generalized autoregressive conditional heteroscedasticity
• Testing for monotonicity of a regression mean by calibrating for linear functions.
• Testing monotonicity of regression.
• Local extremes, runs, strings and multiresolution. (With discussion)
• Analysis of acoustic signatures from moving vehicles using time-varying autoregressive models
• Nonlinear wavelet estimation of time-varying autoregressive processes
• A Haar–Fisz technique for locally stationary volatility estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional