Authors: Bücher, Axel
Fermanian, Jean-David
Kojadinovic, Ivan
Title: Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
Language (ISO): en
Abstract: We derive tests of stationarity for continuous univariate time series by combining changepoint tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. Rank-based cumulative sum tests based on the empirical distribution function and on the empirical autocopula at a given lag are considered first. The combination of their dependent p-values relies on a joint dependent multiplier bootstrap of the two underlying statistics. Conditions under which the proposed combined testing procedure is asymptotically valid under stationarity are provided. After discussing the choice of the maximum lag to investigate, extensions based on tests solely focusing on second-order characteristics are proposed. The finite-sample behaviors of all the derived statistical procedures are investigated in large-scale Monte Carlo experiments and illustrations on two real data sets are provided. Extensions to multivariate time series are briefly discussed as well.
Subject Headings: copula
dependent p-value combination
multiplier bootstrap
rank-based statistics
tests of stationarity
URI: http://hdl.handle.net/2003/36098
http://dx.doi.org/10.17877/DE290R-18114
Issue Date: 2017
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_1617_SFB823_Bücher_Fermanian_Kojadinovic.pdfDNB507.74 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.