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arxiv: 1312.7452 · v2 · pith:DZEV437Dnew · submitted 2013-12-28 · 🧮 math.ST · stat.TH

Detecting long-range dependence in non-stationary time series

classification 🧮 math.ST stat.TH
keywords dependencelong-rangetestnon-stationaritynon-stationarytimeestimatehypotheses
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An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specific parametric hypotheses of non-stationarity (such as a change in the mean) against long-range dependent stationary alternatives. In this paper we suggest a simple approach, which can be used to test the null-hypothesis of a general non-stationary short-memory against the alternative of a non-stationary long-memory process. The test procedure works in the spectral domain and uses a sequence of approximating tvFARIMA models to estimate the time varying long-range dependence parameter. We prove uniform consistency of this estimate and asymptotic normality of an averaged version. These results yield a simple test (based on the quantiles of the standard normal distribution), and it is demonstrated in a simulation study that - despite of its semi-parametric nature - the new test outperforms the currently available methods, which are constructed to discriminate between specific parametric hypotheses of non-stationarity short- and stationarity long-range dependence.

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