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A test for second‐order stationarity of a time series based on the discrete Fourier transform

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  • Yogesh Dwivedi
  • Suhasini Subba Rao

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  • 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.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:1:p:68-91
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    Citations

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    Cited by:

    1. Axel Bücher & Holger Dette & Florian Heinrichs, 2020. "Detecting deviations from second-order stationarity in locally stationary functional time series," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(4), pages 1055-1094, August.
    2. 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.
    3. Lei Jin & Suojin Wang, 2016. "A New Test for Checking the Equality of the Correlation Structures of two time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 355-368, May.
    4. 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).
    5. Soutir Bandyopadhyay & Suhasini Subba Rao, 2017. "A test for stationarity for irregularly spaced spatial data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 95-123, January.
    6. 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.
    7. Lee, Sangyeol & Meintanis, Simos G. & Pretorius, Charl, 2022. "Monitoring procedures for strict stationarity based on the multivariate characteristic function," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    8. T. Subba Rao & Gyorgy Terdik, 2017. "A New Covariance Function and Spatio-Temporal Prediction (Kriging) for A Stationary Spatio-Temporal Random Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 936-959, November.
    9. 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.
    10. 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.
    11. Ruprecht Puchstein & Philip Preuß, 2016. "Testing for Stationarity in Multivariate Locally Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 3-29, January.
    12. Cardinali, Alessandro & Nason, Guy P., 2013. "Costationarity of Locally Stationary Time Series Using costat," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 55(i01).
    13. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    14. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
    15. Tata Subba Rao & Sourav Das & Georgi N. Boshnakov, 2014. "A Frequency Domain Approach For The Estimation Of Parameters Of Spatio-Temporal Stationary Random Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 357-377, July.
    16. 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.

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