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On Local Power Properties of Frequency Domain‐based Tests for Stationarity
Author(s) -
Paparoditis Efstathios,
Preuß Philip
Publication year - 2016
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/sjos.12197
Subject(s) - mathematics , stationary process , series (stratigraphy) , frequency domain , limiting , power (physics)
A framework for the asymptotic analysis of local power properties of tests of stationarity in time series analysis is developed. Appropriate sequences of locally stationary processes are defined that converge at a controlled rate to a limiting stationary process as the length of the time series increases. Different interesting classes of local alternatives to the null hypothesis of stationarity are then considered, and the local power properties of some recently proposed, frequency domain‐based tests for stationarity are investigated. Some simulations illustrate our theoretical findings.