Authors: Preuß, Philip
Sen, Kemal
Dette, Holger
Title: Detecting long-range dependence in non-stationary time series
Language (ISO): en
Abstract: An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specificc parametric hypotheses of non-stationarity (such as a change in the mean) against long-range dependent stationary alternatives. In this paper we suggest a simple nonparametric approach, which can be used to test the null-hypothesis of a general non-stationary short-memory against the alternative of a non-stationary long-memory process. This test is working in the spectral domain and uses a sieve of approximating tvFARIMA models to estimate the time varying long-range dependence parameter nonparametrically. We prove uniform consistency of this estimate and asymptotic normality of an averaged version. These results yield a simple test (based on the quantiles of the standard normal distribution), and it is demonstrated in a simulation study that - despite of its nonparametric nature - the new test outperforms the currently available methods, which are constructed to discriminate between speci fic parametric hypotheses of non-stationarity short- and stationarity long-range dependence.
Subject Headings: spectral density
sieve method
locally stationary process
integrated periodogram
empirical spectral measure
goodness-of- fit tests
non-stationary processes
Issue Date: 2013-12-18
Appears in Collections:Sonderforschungsbereich (SFB) 823

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