Testing Composite Hypotheses for Locally Stationary Processes

DOI10.1111/1467-9892.00317MaRDI QIDQ4455662zbMATH OpenOpenAlexFDO

Authors Kenji Sakiyama, Masanobu Taniguchi

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00317

zbMATH Keywords

composite hypothesesGaussian likelihood ratio testLagrange multiplier testlocally stationary processtests for stationaritytime-varying spectral densityWald test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• Linear Statistical Inference and its Applications
• On the Kullback-Leibler information divergence of locally stationary processes

Cited in

(13)

• A frequency domain test for detecting nonstationary time series
• Clustering nonlinear, nonstationary time series using BSLEX
• LAN theorem for non-Gaussian locally stationary processes and its applications
• Testing semiparametric hypotheses in locally stationary processes
• Frequency domain tests of semiparametric hypotheses for locally stationary process
• Testing for stationarity in multivariate locally stationary processes
• scientific article; zbMATH DE number 4096562 (Why is no real title available?)
• scientific article; zbMATH DE number 1054335 (Why is no real title available?)
• Simultaneous variable selection and structural identification for time‐varying coefficient models
• Likelihood Ratio Processes under Nonstandard Settings
• Nonparametric hypothesis of drift function in locally stationary diffusion models
• Testing temporal constancy of the spectral structure of a time series
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