A local factor nonparametric test for trend synchronism in multiple time series
From MaRDI portal
Publication:739586
DOI10.1016/j.jmva.2016.05.004zbMath1347.62198MaRDI QIDQ739586
Yulia R. Gel, Vyacheslav Lyubchich
Publication date: 18 August 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2016.05.004
time series; multiple mean curves comparison; nonmonotonic trend detection; resampling and bootstrap; trend synchronism
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M07: Non-Markovian processes: hypothesis testing
Related Items
Testing for Trends in High-Dimensional Time Series, A non‐parametric test for multi‐variate trend functions, A distribution-free \(m\)-out-of-\(n\) bootstrap approach to testing symmetry about an unknown median, Testing for local covariate trend effects in volatility models
Uses Software
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