An asymptotic test for constancy of the variance under short-range dependence

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dc.contributor.authorSchmidt, Sara
dc.contributor.authorWornowizki, Max
dc.contributor.authorFried, Roland
dc.contributor.authorDehling, Herold
dc.date.accessioned2020-03-06T15:18:46Z
dc.date.available2020-03-06T15:18:46Z
dc.date.issued2020
dc.description.abstractWe present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic, we establish new limit theorems for U-statistics of dependent triangular arrays.We derive the asymptotic distribution of the test statistic under the null hypothesis of a constant variance and show that the test is consistent against a large class of alternatives, including multiple structural breaks in the variance. Our test is applicable even in the case of non-stationary processes, assuming a locally stationary mean function. The performance of the test and its comparatively low computation time are illustrated in an extensive simulation study. As an application, we analyse data from civil engineering, monitoring crack widths in concrete bridge surfaces.en
dc.identifier.urihttp://hdl.handle.net/2003/39057
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-20976
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;5/2020
dc.subjectchange-point analysisen
dc.subjecttests for heteroscedasticityen
dc.subjectU-statistics of triangular arraysen
dc.subjectshort-range dependenceen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.subject.rswkChange-point-Problemde
dc.subject.rswkHeteroskedastizitätde
dc.subject.rswkU-Statistikde
dc.subject.rswkKorrelationde
dc.titleAn asymptotic test for constancy of the variance under short-range dependenceen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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Sonderforschungsbereich (SFB) 823