Testing that a Gaussian process is stationary

DOI10.1214/AOS/1176351060MaRDI QIDQ1107939zbMATH OpenOpenAlexFDO

Authors T. W. Epps

Publication date 1988

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176351060

zbMATH Keywords

asymptotic relative efficiencychi-squared testempirical characteristic functionhomogeneity of independent processesoptimal score testtime series

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62M99)

Review text

A class of procedures is proposed for testing the stationarity of a Gaussian process or the homogeneity of independent processes. Requiring very limited prior knowledge of model structure, the methods can detect changes or differencdance of the difficulties inherent in the estimation problem. For the null hypothesis of no association, a simple and flexible procedure is proposed to calculate the optimal score test. The asymptotic relative efficiency of this test to the test based upon the true exposures is derived.

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Cited in

(15)

• Testing that a stationary time series is Gaussian
• Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
• Detection of multiple changes in a sequence of dependent variables
• Testing and estimating in the change-point problem of the spectral function
• A random-projection based test of Gaussianity for stationary processes
• Monitoring changes in the error distribution of autoregressive models based on Fourier methods
• Goodness-of-fit tests for stationary Gaussian processes with tapered data
• On the properties of the periodogram of a stationary long-memory process over different epochs with applications
• Un test d'auto-similarité pour les processus gaussiens à accroissements stationnaires
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• Diagnostic checking for the adequacy of nonlinear time series models
• Fourier–type tests involving martingale difference processes
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• Estimating nonlinear regression with and without change-points by the LAD method
• A test for the independence of two Gaussian processes

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