Fourier-type monitoring procedures for strict stationarity
Loading...
Date
Authors
Lee, S.
Meintanis, S.G.
Pretorius, C.
Supervisors
Journal Title
Journal ISSN
Volume Title
Publisher
Springer
Record Identifier
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
Sustainable Development Goals
Description
Keywords
Citation
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]