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A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series

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  • Guy Nason

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  • Guy Nason, 2013. "A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(5), pages 879-904, November.
    • Handle: RePEc:bla:jorssb:v:75:y:2013:i:5:p:879-904
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    1. Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 171-200, March.
    2. G. P. Nason & R. Von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
    3. Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
    4. Sanderson, Jean & Fryzlewicz, Piotr & Jones, M. W., 2010. "Estimating linear dependence between nonstationary time series using the locally stationary wavelet model," LSE Research Online Documents on Economics 29141, London School of Economics and Political Science, LSE Library.
    5. Piotr Fryzlewicz & Guy P. Nason, 2006. "Haar–Fisz estimation of evolutionary wavelet spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(4), pages 611-634, September.
    6. Rosen, Ori & Stoffer, David S. & Wood, Sally, 2009. "Local Spectral Analysis via a Bayesian Mixture of Smoothing Splines," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 249-262.
    7. Fryzlewicz, Piotr & van Bellegem, Sébastien & von Sachs, Rainer, 2003. "Forecasting non-stationary time series by wavelet process modelling," LSE Research Online Documents on Economics 25830, London School of Economics and Political Science, LSE Library.
    8. Paparoditis, Efstathios, 2010. "Validating Stationarity Assumptions in Time Series Analysis by Rolling Local Periodograms," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 839-851.
    9. J. Sanderson & P. Fryzlewicz & M. W. Jones, 2010. "Estimating linear dependence between nonstationary time series using the locally stationary wavelet model," Biometrika, Biometrika Trust, vol. 97(2), pages 435-446.
    10. Piotr Fryzlewicz & Sébastien Bellegem & Rainer Sachs, 2003. "Forecasting non-stationary time series by wavelet process modelling," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(4), pages 737-764, December.
    11. Yogesh Dwivedi & Suhasini Subba Rao, 2011. "A test for second‐order stationarity of a time series based on the discrete Fourier transform," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 68-91, January.
    12. Fryzlewicz, Piotr & Nason, Guy P., 2006. "Haar-Fisz estimation of evolutionary wavelet spectra," LSE Research Online Documents on Economics 25227, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Myoungji Lee & Marc G. Genton & Mikyoung Jun, 2016. "Testing Self-Similarity Through Lamperti Transformations," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 426-447, September.
    2. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    3. Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
    4. E A K Cohen & A J Gibberd, 2022. "Wavelet spectra for multivariate point processes [The spectral analysis of point processes]," Biometrika, Biometrika Trust, vol. 109(3), pages 837-851.
    5. Embleton, Jonathan & Knight, Marina I. & Ombao, Hernando, 2022. "Wavelet testing for a replicate-effect within an ordered multiple-trial experiment," Computational Statistics & Data Analysis, Elsevier, vol. 174(C).
    6. I A Eckley & G P Nason, 2018. "A test for the absence of aliasing or local white noise in locally stationary wavelet time series," Biometrika, Biometrika Trust, vol. 105(4), pages 833-848.
    7. Tata Subba Rao & Granville Tunnicliffe Wilson & Soutir Bandyopadhyay & Carsten Jentsch & Suhasini Subba Rao, 2017. "A Spectral Domain Test for Stationarity of Spatio-Temporal Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 326-351, March.
    8. Terry Bossomaier & Lionel Barnett & Adam Steen & Mike Harré & Steve d'Alessandro & Rod Duncan, 2018. "Information flow around stock market collapse," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 45-58, November.
    9. Jentsch, Carsten & Subba Rao, Suhasini, 2015. "A test for second order stationarity of a multivariate time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 124-161.
    10. de Menezes, Lilian M. & Houllier, Melanie A. & Tamvakis, Michael, 2016. "Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices," Energy Policy, Elsevier, vol. 88(C), pages 613-627.
    11. Antonis A. Michis & Guy P. Nason, 2017. "Case study: shipping trend estimation and prediction via multiscale variance stabilisation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(15), pages 2672-2684, November.
    12. Kley, Tobias & Preuss, Philip & Fryzlewicz, Piotr, 2019. "Predictive, finite-sample model choice for time series under stationarity and non-stationarity," LSE Research Online Documents on Economics 101748, London School of Economics and Political Science, LSE Library.
    13. Euan T. McGonigle & Rebecca Killick & Matthew A. Nunes, 2022. "Trend locally stationary wavelet processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 895-917, November.
    14. Melanie Houllier & Lilian M. De Menezes & Michael Tamvakis, 2014. "Time Varying Long Run Dynamics And Convergence In The Uk Energy Market," EcoMod2014 6970, EcoMod.
    15. Cho, Haeran & Fryzlewicz, Piotr, 2015. "Multiple-change-point detection for high dimensional time series via sparsified binary segmentation," LSE Research Online Documents on Economics 57147, London School of Economics and Political Science, LSE Library.
    16. Guy P. Nason & James L. Wei, 2022. "Quantifying the economic response to COVID‐19 mitigations and death rates via forecasting purchasing managers' indices using generalised network autoregressive models with exogenous variables," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 1778-1792, October.
    17. Garcimartin, Carlos & Kvedaras, Virmantas & Rivas, Luis, 2016. "Business cycles in a balance-of-payments constrained growth framework," Economic Modelling, Elsevier, vol. 57(C), pages 120-132.
    18. Koçak, Emrah & Önderol, Seyit & Khan, Kamran, 2021. "Structural change, modernization, total factor productivity, and natural resources sustainability: An assessment with quantile and non-quantile estimators," Resources Policy, Elsevier, vol. 74(C).
    19. Antonis A. Michis, 2021. "Wavelet Multidimensional Scaling Analysis of European Economic Sentiment Indicators," Journal of Classification, Springer;The Classification Society, vol. 38(3), pages 443-480, October.
    20. Clark, Andrew, 2022. "Causality in the aluminum market," Journal of Commodity Markets, Elsevier, vol. 27(C).
    21. Tata Subba Rao & Granville Tunnicliffe Wilson & Alessandro Cardinali & Guy P. Nason, 2017. "Locally Stationary Wavelet Packet Processes: Basis Selection and Model Fitting," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 151-174, March.

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