Fourier-type monitoring procedures for strict stationarity
Statistics Theory
2022-10-10 v1 Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.1908.10191,
title = {Fourier-type monitoring procedures for strict stationarity},
author = {Sangyeol Lee and Simos G. Meintanis and Charl Pretorius},
journal= {arXiv preprint arXiv:1908.10191},
year = {2022}
}