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A test for second-order stationarity of a time series based on the maximum of Anderson–Darling statistics
Journal of Statistical Planning and Inference ( IF 0.9 ) Pub Date : 2021-03-09 , DOI: 10.1016/j.jspi.2021.02.010
Shibin Zhang

This paper is concerned with testing the second-order stationarity of a time series. By using a blockwise scheme, the test is transformed to compare local spectra of different segments of the blocked time series. Based on periodogram-ratios of each pair of segments at the same frequency points, an Anderson–Darling-like statistic is constructed to compare their spectra. By maximizing several Anderson–Darling-like statistics, a test statistic is proposed for testing second-order stationarity. Under the null, the probability distribution of the proposed statistic can be approximated by simulation. Extensive simulation examples show that the proposed test approach achieves good performance.



中文翻译:

基于Anderson-Darling统计量最大值的时间序列的二阶平稳性检验

本文涉及测试时间序列的二阶平稳性。通过使用逐块方案,对测试进行了转换,以比较封闭时间序列不同段的局部光谱。基于在相同频率点上每对线段的周期图比率,构造了一个类似于Anderson-Darling的统计量,以比较它们的频谱。通过最大化几个类似于Anderson-Darling的统计量,提出了一种用于测试二阶平稳性的测试统计量。在零值下,可以通过仿真来近似所提出的统计信息的概率分布。大量的仿真实例表明,所提出的测试方法具有良好的性能。

更新日期:2021-03-21
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