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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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    Cited by:

    1. Horváth, Lajos & Kokoszka, Piotr & Rice, Gregory, 2014. "Testing stationarity of functional time series," Journal of Econometrics, Elsevier, vol. 179(1), pages 66-82.
    2. 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.
    3. 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.
    4. 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.
    5. Francq, Christian & Zakoïan, Jean-Michel, 2022. "Testing the existence of moments for GARCH processes," Journal of Econometrics, Elsevier, vol. 227(1), pages 47-64.
    6. 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.
    7. 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).
    8. 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).
    9. 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.
    10. 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.
    11. 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.
    12. 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).
    13. 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.
    14. 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.
    15. 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.
    16. 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.

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