Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

Tucker McElroy*, Agnieszka Jach

*Motsvarande författare för detta arbete

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

A nonparametric procedure for identifying the differencing operator of a non-stationary time series is presented and tested. Any proposed differencing operator is first applied to the time series, and the spectral density is tested for zeroes corresponding to the polynomial roots of the operator. A nonparametric tapered spectral density estimator is used, and the subsampling methodology is applied to obtain critical values. Simulations explore the effectiveness of the procedure under a variety of scenarios involving non-stationary processes.
OriginalspråkEngelska
Artikelnummer107580
Referentgranskad vetenskaplig tidskriftComputational Statistics & Data Analysis
Volym177
ISSN0167-9473
DOI
StatusPublicerad - 29.07.2022
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 112 Statistik

Fingeravtryck

Fördjupa i forskningsämnen för ”Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density”. Tillsammans bildar de ett unikt fingeravtryck.

Citera det här