A Wavelet‐Based Test for Stationarity

By R. von Sachs, Michael H. Neumann. 2000

105 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5f57f74150a7995782ff46649d3ae9014c28e2c0

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Citations in the corpus

Locally Stationary Processes (2011, methodology): “Tests of general hypothesis are derived in Sakiyama and Taniguchi (2003) who test parametric composite hypothesis by the Gaussian likelihood ratio test, the Wald test and the Lagrange multiplier test.”
Detecting gradual changes in locally stationary processes (2013, methodology): “2, 23], Dette et al. [8] and Preuˇ et al. [24] among others. A Portmanteau-type test has been constructed in Dwivedi & Subba Rao [10]; a Wavelet-based test can be found in von Sachs & Neumann [28]. To estimate the time point u0, one may try to sequentially apply such testing methods. A seque”
Validating Stationarity Assumptions in Time Series Analysis by Rolling Local Periodograms (2010, methodology): “…time-varying) spectral distribution functions estimated on different parts of the series and evaluated using a supremum type statistic. von Sachs and Neumann (2000) developed a test of stationarity based on empirical wavelet coefficients estimated using localized versions of the…”
A test for second‐order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series (2013, methodology): “Our test inherits the ability of the von Sachs and Neumann (2000) technique to work with a wide range of non-Gaussian data.”
Testing temporal constancy of the spectral structure of a time series (2009, methodology): “Giraitis and Leipus (1992) generalized this approach to the case of linear processes. von Sachs and Neumann (2000) developed a test of stationarity based on empirical wavelet coefficients estimated using localized versions of the periodogram.”
A Measure of Stationarity in Locally Stationary Processes With Applications to Testing (2011, methodology): “We also provide a comparison of the new test with the procedures proposed by von Sachs and Neumann (2000) and Paparoditis (2010) and illustrate the methodology by reanalyzing several data examples, which have recently been discussed in the literature.”
A test for second order stationarity of a multivariate time series (2015, background): “function with a parametric form, see for example, Whittle (1953), Walker (1963) and Eichler (2012)).”