Stationarity test based on density approach. Issue 2 (2nd April 2020)

• Record Type: Journal Article
• Authors: Moon, Ji Eun; Park, Cheolyong; Ha, Jeongcheol; Hwang, Sun Young; Kim, Tae Yoon
• Is Part Of: Journal of nonparametric statistics. Volume 32:Issue 2(2020)
• Page Start: 345
• Page End: 366
• Publication Date: 2020-04-02
• Subjects: Density approach -- neighbourhood problem -- long-range dependence stationarity test; Nonparametric statistics -- Periodicals; 519.5
• DOI: 10.1080/10485252.2020.1748624
• Languages: English
• ISSNs: 1048-5252

Abstract

ABSTRACT: It is well known that a neighbourhood problem exists between stationarity and random walk with correlated error for any finite sample size n . That is, any stationary process is approximated by random walk with correlated error for any finite n . Hence, one cannot distinguish between them easily. In this article, we propose a stationarity test based on nonparametric density that resolves the neighbourhood problem successfully. Our stationarity test also emerges as a successful long-range dependence (LRD) stationarity test. Note that there is a similar neighbourhood problem between LRD stationarity and LRD non-stationarity [Samorodnitsky, G. (2006), 'Long Range Dependence', Foundations and Trends in Stochastic Systems, 1, 163–257].