Mode Identification of Volatility in Time-Varying Autoregression

DOI10.1080/01621459.2012.703877MaRDI QIDQ4648567zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 193111 (Why is no real title available?)
• A Haar–Fisz technique for locally stationary volatility estimation
• Analysis of acoustic signatures from moving vehicles using time-varying autoregressive models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Discrimination of Locally Stationary Time Series Based on the Excess Mass Functional
• Empirical spectral processes for locally stationary time series
• Fitting time series models to nonstationary processes
• Generalized autoregressive conditional heteroscedasticity
• Local extremes, runs, strings and multiresolution. (With discussion)
• Multivariate mode hunting: Data analytic tools with measures of significance
• Nonlinear wavelet estimation of time-varying autoregressive processes
• Nonparametric estimation of time varying parameters under shape restrictions
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• Testing for monotonicity of a regression mean by calibrating for linear functions.
• Testing monotonicity of regression.
• The dip test of unimodality

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

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Uses Software

• ftnonpar

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