A local factor nonparametric test for trend synchronism in multiple time series

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

zbMATH Keywords

time series; multiple mean curves comparison; nonmonotonic trend detection; resampling and bootstrap; trend synchronism

Mathematics Subject Classification ID

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

• funtimes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sieve bootstrap for smoothing in nonstationary time series
• Testing for common deterministic trend slopes
• Subsampling methods for genomic inference
• SiZer analysis for the comparison of time series
• Bandwidth choice for nonparametric regression
• The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors
• Strong consistency of the regularized least-squares estimates of infinite autoregressive models
• A class of Wasserstein metrics for probability distributions
• Consistent autoregressive spectral estimates
• Nonparametric comparison of several regression functions: Exact and asymptotic theory
• Sieve bootstrap for time series
• A distribution-free \(m\)-out-of-\(n\) bootstrap approach to testing symmetry about an unknown median
• Consistency for the least squares estimator in nonlinear regression model
• ANOVA and rank tests when the number of treatments is large
• Bootstrap tests for nonparametric comparison of regression curves with dependent errors
• Weak dependence. With examples and applications.
• Future building water loss projections posed by climate change
• A Bootstrap Test for the Equality of Nonparametric Regression Curves Under Dependence
• Nonparametric lack-of-fit testing and consistent variable selection
• Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise
• An ANOVA-type nonparametric diagnostic test for heteroscedastic regression models
• Comparing non-parametric regression lines via regression depth
• ON WAVELET METHODS FOR TESTING EQUALITY OF MEAN RESPONSE CURVES
• REGRESSION, AUTOREGRESSION MODELS
• Non-Parametric Analysis of Covariance
• Test of Significance When Data Are Curves
• Asymptotics for Analysis of Variance When the Number of Levels is Large
• Testing for Parallelism Among Trends in Multiple Time Series
• Using Difference-Based Methods for Inference in Nonparametric Regression with Time Series Errors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Clustering High-Dimensional Time Series Based on Parallelism
• Adaptive choice of bootstrap sample sizes
• Testing for the Equality of Two Nonparametric Regression Curves with Long Memory Errors
• Heteroscedastic One-Way ANOVA and Lack-of-Fit Tests
• An equality test across nonparametric regressions