Measuring stationarity in long-memory processes

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dc.contributor.authorDette, Holger
dc.contributor.authorPreuß, Philip
dc.contributor.authorSen, Kemal
dc.date.accessioned2013-03-14T14:39:47Z
dc.date.available2013-03-14T14:39:47Z
dc.date.issued2013-03-14
dc.description.abstractIn 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.identifier.urihttp://hdl.handle.net/2003/30097
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-10344
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;9/2013en
dc.subjectbootstrapen
dc.subjectempirical spectral measureen
dc.subjectgoodness-of-fit testsen
dc.subjectintegrated periodogramen
dc.subjectlocally stationary processen
dc.subjectlong-memoryen
dc.subjectnon-stationary processesen
dc.subjectspectral densityen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleMeasuring stationarity in long-memory processesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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Sonderforschungsbereich (SFB) 823