4 papers
Testing for Stable Intervals in Non-Stationary Time Series
Florian Heinrichs
Many time series are not stable over their full observation horizon, but may contain scientifically meaningful periods during which a signal remains stable up to a prescribed toler…
A Functional Central Limit Theorem for Localized Partial Sums of Non-Stationary Time Series
Florian Heinrichs
A localized functional central limit theorem is established for kernel-weighted partial sum processes of piecewise locally stationary time series under geometric decay of the physi…
Self-Normalization for CUSUM-based Change Detection in Locally Stationary Time Series
Florian Heinrichs
A new bivariate partial sum process for locally stationary time series is introduced and its weak convergence to a Brownian sheet is established. This construction enables the deve…
Sequential Outlier Detection in Non-Stationary Time Series
Florian Heinrichs, Patrick Bastian, Holger Dette
A novel method for sequential outlier detection in non-stationary time series is proposed. The method tests the null hypothesis of ``no outlier'' at each time point, addressing the…