Zobrazeno 1 - 10
of 49
pro vyhledávání: '"Preuss, Philip"'
In statistical research there usually exists a choice between structurally simpler or more complex models. We argue that, even if a more complex, locally stationary time series model were true, then a simple, stationary time series model may be advan
Externí odkaz:
http://arxiv.org/abs/1611.04460
An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specific parametric hypotheses of non-stationarity (such as a change in the
Externí odkaz:
http://arxiv.org/abs/1312.7452
Publikováno v:
Bernoulli 2013, Vol. 19, No. 5B, 2715-2749
In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type distance between the true time varying spectral density and its best app
Externí odkaz:
http://arxiv.org/abs/1312.5448
Autor:
Puchstein, Ruprecht, Preuß, Philip
In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assisted test based on a Kolmogorov-Smirnov type statistic, which tracks th
Externí odkaz:
http://arxiv.org/abs/1312.1509
We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second- order) piecewise stationary process, which also identifies the components of the series
Externí odkaz:
http://arxiv.org/abs/1309.1309
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an $L_2$-distance between the spectral density of the locally stationary process and its best approximation under the assumption
Externí odkaz:
http://arxiv.org/abs/1303.3482
Autor:
Preuß, Philip, Hildebrandt, Thimo
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, after which the generalizatio
Externí odkaz:
http://arxiv.org/abs/1207.5659
Autor:
PAPARODITIS, EFSTATHIOS, PREUß, PHILIP
Publikováno v:
Scandinavian Journal of Statistics, 2016 Sep 01. 43(3), 664-682.
Externí odkaz:
http://www.jstor.org/stable/24886956
Publikováno v:
Statistica Sinica, 2016 Jan 01. 26(1), 313-357.
Externí odkaz:
https://www.jstor.org/stable/24721202
Publikováno v:
Journal of the American Statistical Association, 2015 Jun 01. 110(510), 654-668.
Externí odkaz:
http://www.jstor.org/stable/24739484