A frequency domain test for detecting nonstationary time series

Computational Statistics and Data Analysis

Volumn 75, Issue , 2014, Pages 179-189

  Chen, Yen Hung ^a   Hsu, Nan Jung ^b  

^a TAIWAN SEMICONDUCTOR MANUFACTURING COMPANY   (Taiwan)

^b NATIONAL TSING HUA UNIVERSITY   (Taiwan)

Author keywords

Fractionally exponential model; Local periodogram estimate; Local polynomial estimation; Log periodogram regression

Indexed keywords

REGRESSION ANALYSIS; SAMPLING; STATISTICAL TESTS; TIME SERIES;

ASYMPTOTIC DISTRIBUTIONS; EXPONENTIAL MODELS; GENERALIZED LIKELIHOOD RATIO TEST; LOCAL POLYNOMIAL ESTIMATIONS; LOG-PERIODOGRAM; LONG RANGE DEPENDENCE; NON-STATIONARY TIME SERIES; PERIODOGRAMS;

FREQUENCY DOMAIN ANALYSIS;

EID: 84897113582     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2014.02.006     Document Type: Article

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