Monitoring procedures for strict stationarity based on the multivariate characteristic function

Lee, S.; Meintanis, S.G.; Pretorius, C.

doi:10.1016/j.jmva.2021.104892

Μονάδα:

Ερευνητικό υλικό ΕΚΠΑ

Τίτλος:

Monitoring procedures for strict stationarity based on the multivariate characteristic function

Γλώσσες Τεκμηρίου:

Αγγλικά

Περίληψη:

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. © 2021 Elsevier Inc.

Έτος δημοσίευσης:

2022

Συγγραφείς:

Lee, S.
Meintanis, S.G.
Pretorius, C.

Περιοδικό:

Journal of Multivariate Analysis

Εκδότης:

Academic Press Inc.

Τόμος:

189

Επίσημο URL (Εκδότης):

https://doi.org/10.1016/j.jmva.2021.104892

DOI:

10.1016/j.jmva.2021.104892

Μόνιμη διεύθυνση:

https://pergamos.lib.uoa.gr/uoa/dl/object/2978761

Monitoring procedures for strict stationarity based on the multivariate characteristic function

Το ψηφιακό υλικό του τεκμηρίου δεν είναι διαθέσιμο.