Detecting gradual changes in locally stationary processes


Dateien zu dieser Ressource

Dateien Größe Format Anzeige

Zu diesem Dokument gibt es keine Dateien.

VOGT, Michael, Holger DETTE, 2015. Detecting gradual changes in locally stationary processes. In: The Annals of Statistics. 43(2), pp. 713-740. ISSN 0090-5364. Available under: doi: 10.1214/14-AOS1297

@article{Vogt2015Detec-31244, title={Detecting gradual changes in locally stationary processes}, year={2015}, doi={10.1214/14-AOS1297}, number={2}, volume={43}, issn={0090-5364}, journal={The Annals of Statistics}, pages={713--740}, author={Vogt, Michael and Dette, Holger} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:isPartOf rdf:resource=""/> <dc:contributor>Vogt, Michael</dc:contributor> <dcterms:abstract xml:lang="eng">In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start to change. In many cases, it is of interest to locate the time point where the properties start to vary. In contrast to the analysis of abrupt changes, methods for detecting smooth or gradual change points are less developed and often require strong parametric assumptions. In this paper, we develop a fully nonparametric method to estimate a smooth change point in a locally stationary framework. We set up a general procedure which allows us to deal with a wide variety of stochastic properties including the mean, (auto)covariances and higher moments. The theoretical part of the paper establishes the convergence rate of the new estimator. In addition, we examine its finite sample performance by means of a simulation study and illustrate the methodology by two applications to financial return data.</dcterms:abstract> <dc:creator>Dette, Holger</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dcterms:title>Detecting gradual changes in locally stationary processes</dcterms:title> <dcterms:available rdf:datatype="">2015-06-23T11:22:49Z</dcterms:available> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:issued>2015</dcterms:issued> <dc:language>eng</dc:language> <dc:contributor>Dette, Holger</dc:contributor> <dc:date rdf:datatype="">2015-06-23T11:22:49Z</dc:date> <dspace:isPartOfCollection rdf:resource=""/> <dc:creator>Vogt, Michael</dc:creator> <bibo:uri rdf:resource=""/> </rdf:Description> </rdf:RDF>

Das Dokument erscheint in:

KOPS Suche


Mein Benutzerkonto