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Monitoring procedures for strict stationarity based on the multivariate characteristic function

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  • Lee, Sangyeol
  • Meintanis, Simos G.
  • Pretorius, Charl

Abstract

We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the multivariate empirical characteristic function. Asymptotic results are obtained for the closed-end scenario and Monte Carlo results are presented. The new methods are also employed in order to test for possible stationarity breaks in time-series data from the financial sector.

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  • 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).
    • Handle: RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001706
    DOI: 10.1016/j.jmva.2021.104892
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