Stationarity test based on density approach

DOI10.1080/10485252.2020.1748624MaRDI QIDQ5114479zbMATH OpenOpenAlexFDO

Authors Ji Eun Moon, Cheolyong Park, Jeongcheol Ha, Tae Yoon Kim, S. Y. Hwang

Publication date 24 June 2020

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2020.1748624

zbMATH Keywords

density approachneighbourhood problemlong-range dependence (LRD) stationarity test

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3290822 (Why is no real title available?)
• Density versions of the univariate central limit theorem
• Discrimination between monotonic trends and long-range dependence
• Kernel density estimator for strong mixing processes
• Localized realized volatility modeling
• Long Range Dependence
• Moment inequalities for mixing sequences of random variables
• Nonparametric tests for unit roots and cointegration.
• Size and power of tests of stationarity in highly autocorrelated time series
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Describes a project that uses

Uses Software

• longmemo

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