Fourier-type monitoring procedures for strict stationarity

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Date
2018
Author
Lee, S.
Meintanis, S.G.
Pretorius, C.
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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
URI
http://hdl.handle.net/10394/33262
https://link.springer.com/chapter/10.1007%2F978-3-319-96941-1_22
https://doi.org/10.1007/978-3-319-96941-1_22
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