8 papers · 1 filter
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…
A Portmanteau-type test for detecting serial correlation in locally stationary functional time series
Axel Bücher, Holger Dette, Florian Heinrichs
The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations…
A distribution free test for changes in the trend function of locally stationary processes
Holger Dette, Florian Heinrichs
In the common time series model with non-stationary errors we consider the problem of detecting a significant deviation of the mean function…