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math.PR2010
Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
Ansgar Steland
The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econome…
math.PR2010
Weighted Dickey-Fuller Processes for Detecting Stationarity
Ansgar Steland
Aiming at monitoring a time series to detect stationarity as soon as possible, we introduce monitoring procedures based on kernel-weighted sequential Dickey-Fuller (DF) processes,…