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Fourier-type monitoring procedures for strict stationarity

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Lee, S.
Meintanis, S.G.
Pretorius, C.

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Springer

Abstract

We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical characteristic function. Monte Carlo results as well as an application to financial data are presented

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Lee, S. et al. 2018. Fourier-type monitoring procedures for strict stationarity. (In Bertail, P., Blanke, D., Cornillon, P.-A. & Matzner-Løber, E., eds. Nonparametric statistics. Springer.) 3rd Conference of the ISNPS, Avignon, France, June 2016. Springer proceedings in mathematics & statistics, 250: 323-336. [https://doi.org/10.1007/978-3-319-96941-1_22]

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