A new non-parametric stationarity test of time series in the time domain

DOI10.1111/RSSB.12091MaRDI QIDQ5378141zbMATH OpenOpenAlexFDO

Authors

Publication date 12 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/rssb.12091

zbMATH Keywords

time seriesautocovariancestationarity testWalsh functionsorder selectionsystematic samples

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(13)

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• A nonparametric test for stationarity in functional time series
• A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
• A bootstrapped test of covariance stationarity based on orthonormal transformations
• Case study: shipping trend estimation and prediction via multiscale variance stabilisation
• A frequency domain test for detecting nonstationary time series
• Practical powerful wavelet packet tests for second-order stationarity
• Detecting deviations from second-order stationarity in locally stationary functional time series
• A frequency-domain based test for non-correlation between stationary time series
• Autoregressive approximations to nonstationary time series with inference and applications
• A test for second-order stationarity of time series based on unsystematic sub-samples
• Measuring the degree of non-stationarity of a time series
• Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series

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