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math.ST2020
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…
math.ST2020
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…
math.ST2020
Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators
Axel Bücher, Holger Dette, Florian Heinrichs
Classical change point analysis aims at (1) detecting abrupt changes in the mean of a possibly non-stationary time series and at (2) identifying regions where the mean exhibits a p…