Simulation Study Comparing Two Tests of Second-order Stationarity and Confidence Intervals for Localized Autocovariance
Methodology
2016-03-22 v1
Abstract
This report compares two tests of second-order stationarity through simulation. It also provides several examples of localised autocovariances and their approximate confidence intervals on different real and simulated data sets. An empirical verification of an asymptotic Gaussianity result is also demonstrated. The commands use to produce figures in a companion paper are also described.
Keywords
Cite
@article{arxiv.1603.06415,
title = {Simulation Study Comparing Two Tests of Second-order Stationarity and Confidence Intervals for Localized Autocovariance},
author = {Guy Nason},
journal= {arXiv preprint arXiv:1603.06415},
year = {2016}
}
Comments
University of Bristol, School of Mathematics, Statistics Group, Technical Report