Testing temporal constancy of the spectral structure of a time series

DOI10.3150/08-BEJ179zbMath1200.62049arXiv1001.2122MaRDI QIDQ605893

Efstathios Paparoditis

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.2122

zbMATH Keywords

testing; non-stationary processes; time-varying spectral density; local periodogram

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

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