A Wavelet-Based Test for Stationarity
- We develop a test for stationarity of a time series against the alternative of a time-changing covariance structure. Using localized versions of the periodogram, we obtain empirical versions of a reasonable notion of a time-varying spectral density. Coefficients w.r.t. a Haar wavelet series expansion of such a time-varying periodogram are a possible indicator whether there is some deviation from covariance stationarity. We propose a test based on the limit distribution of these empirical coefficients.
Author: | Rainer von Sachs, Michael H. Neumann |
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URN: | urn:nbn:de:hbz:386-kluedo-5877 |
Series (Serial Number): | Berichte der Arbeitsgruppe Technomathematik (AGTM Report) (182) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 1997 |
Year of first Publication: | 1997 |
Publishing Institution: | Technische Universität Kaiserslautern |
Date of the Publication (Server): | 2000/04/03 |
Tag: | Locally stationary processes; stationarity; test; time series; wavelets |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |