A nonparametric approach to detecting changes in variance in locally stationary time series

J.‐L. Chapman; I. A. Eckley; R. Killick

doi:10.1002/env.2576

A nonparametric approach to detecting changes in variance in locally stationary time series

Environmetrics ◽

10.1002/env.2576 ◽

2019 ◽

Vol 31 (1) ◽

Author(s):

J.‐L. Chapman ◽

I. A. Eckley ◽

R. Killick

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Nonparametric Approach ◽

Stationary Time ◽

Locally Stationary Time Series

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Quantile spectral analysis for locally stationary time series

Journal of the Royal Statistical Society Series B (Statistical Methodology) ◽

10.1111/rssb.12231 ◽

2017 ◽

Vol 79 (5) ◽

pp. 1619-1643 ◽

Cited By ~ 13

Author(s):

Stefan Birr ◽

Stanislav Volgushev ◽

Tobias Kley ◽

Holger Dette ◽

Marc Hallin

Keyword(s):

Time Series ◽

Spectral Analysis ◽

Stationary Time Series ◽

Stationary Time ◽

Locally Stationary Time Series

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Time-varying additive model with autoregressive errors for locally stationary time series

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1980803 ◽

2021 ◽

pp. 1-31

Author(s):

Jiyanglin Li ◽

Tao Li

Keyword(s):

Time Series ◽

Additive Model ◽

Stationary Time Series ◽

Time Varying ◽

Stationary Time ◽

Autoregressive Errors ◽

Locally Stationary Time Series

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Costationarity of Locally Stationary Time Series

Journal of Time Series Econometrics ◽

10.2202/1941-1928.1074 ◽

2011 ◽

Vol 2 (2) ◽

Cited By ~ 5

Author(s):

Alessandro Cardinali ◽

Guy P Nason

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Stationary Time ◽

Locally Stationary Time Series

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Nonparametric regression for locally stationary time series

The Annals of Statistics ◽

10.1214/12-aos1043 ◽

2012 ◽

Vol 40 (5) ◽

pp. 2601-2633 ◽

Cited By ~ 49

Author(s):

Michael Vogt

Keyword(s):

Time Series ◽

Nonparametric Regression ◽

Stationary Time Series ◽

Stationary Time ◽

Locally Stationary Time Series

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Local inference for locally stationary time series based on the empirical spectral measure

Journal of Econometrics ◽

10.1016/j.jeconom.2009.03.002 ◽

2009 ◽

Vol 151 (2) ◽

pp. 101-112 ◽

Cited By ~ 28

Author(s):

Rainer Dahlhaus

Keyword(s):

Time Series ◽

Spectral Measure ◽

Stationary Time Series ◽

Stationary Time ◽

Local Inference ◽

Locally Stationary Time Series

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Statistical inference of time-varying single-index coefficient models for locally stationary time series

Scientia Sinica Mathematica ◽

10.1360/n012018-00137 ◽

2019 ◽

Vol 50 (11) ◽

pp. 1609

Author(s):

You Jinhong ◽

Hu Jianhua ◽

Liu Liangyuan ◽

Li Tao

Keyword(s):

Time Series ◽

Statistical Inference ◽

Stationary Time Series ◽

Time Varying ◽

Single Index ◽

Stationary Time ◽

Locally Stationary Time Series

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Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series

Statistics & Probability Letters ◽

10.1016/j.spl.2015.03.003 ◽

2015 ◽

Vol 101 ◽

pp. 54-63 ◽

Cited By ~ 2

Author(s):

J. Krampe ◽

J.-P. Kreiss ◽

E. Paparoditis

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Wild Bootstrap ◽

Trend Estimation ◽

Stationary Time ◽

Locally Stationary Time Series

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Predictive Inference for Locally Stationary Time Series

Model-Free Prediction and Regression ◽

10.1007/978-3-319-21347-7_9 ◽

2015 ◽

pp. 177-195

Author(s):

Dimitris N. Politis

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Predictive Inference ◽

Stationary Time ◽

Locally Stationary Time Series

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On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series

Journal of Time Series Analysis ◽

10.1111/1467-9892.00114 ◽

1998 ◽

Vol 19 (6) ◽

pp. 629-655 ◽

Cited By ~ 26

Author(s):

Rainer Dahlhaus ◽

Liudas Giraitis

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Segment Length ◽

Parameter Estimates ◽

Stationary Time ◽

Locally Stationary Time Series

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Detecting abrupt changes in a piecewise locally stationary time series

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2007.06.010 ◽

2008 ◽

Vol 99 (2) ◽

pp. 191-214 ◽

Cited By ~ 18

Author(s):

Michael Last ◽

Robert Shumway

Keyword(s):

Time Series ◽

Stationary Time Series ◽

Stationary Time ◽

Abrupt Changes ◽

Locally Stationary Time Series

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