Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dette, Holger | - |
dc.contributor.author | Preuß, Philip | - |
dc.contributor.author | Sen, Kemal | - |
dc.date.accessioned | 2013-03-14T14:39:47Z | - |
dc.date.available | 2013-03-14T14:39:47Z | - |
dc.date.issued | 2013-03-14 | - |
dc.identifier.uri | http://hdl.handle.net/2003/30097 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-10344 | - |
dc.description.abstract | In this paper we consider the problem of measuring stationarity in locally stationary longmemory processes. We introduce an L2-distance between the spectral density of the locally stationary process and its best approximation under the assumption of stationarity. The distance is estimated by a numerical approximation of the integrated spectral periodogram and asymptotic normality of the resulting estimate is established. The results can be used to construct a simple test for the hypothesis of stationarity in locally stationary long-range dependent processes. We also propose a bootstrap procedure to improve the approximation of the nominal level and prove its consistency. Throughout the paper, we will work with Riemann sums of a squared periodogram instead of integrals (as it is usually done in the literature) and as a byproduct of independent interest it is demonstrated that the two approaches behave differently in the limit. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;9/2013 | en |
dc.subject | bootstrap | en |
dc.subject | empirical spectral measure | en |
dc.subject | goodness-of-fit tests | en |
dc.subject | integrated periodogram | en |
dc.subject | locally stationary process | en |
dc.subject | long-memory | en |
dc.subject | non-stationary processes | en |
dc.subject | spectral density | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Measuring stationarity in long-memory processes | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0913_SFB823_Sen_Preuß_Dette.pdf | DNB | 515.08 kB | Adobe PDF | View/Open |
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