Fourier-type monitoring procedures for strict stationarity

Fourier-type monitoring procedures for strict stationarity

We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical characteristic function. Asymptotic as well as Monte Carlo results are presented. The new methods are also employed in order...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:arXiv.org 2019-08
Hauptverfasser: Lee, Sangyeol, Meintanis, Simos G, Pretorius, Charl
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic methods
Asymptotic properties
Characteristic functions
Computer simulation
Mathematics - Statistics Theory
Monitoring
Monte Carlo simulation
Statistics - Theory
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical characteristic function. Asymptotic as well as Monte Carlo results are presented. The new methods are also employed in order to test for possible stationarity breaks in time-series data from the financial sector.
ISSN:2331-8422
DOI:10.48550/arxiv.1908.10191