4 citations · 4 across the 2 of their papers we have counts for
Showing math.STShow all
2 papers · 1 filter
math.ST2013
Testing for stationarity in multivariate locally stationary processes
Ruprecht Puchstein, Philip Preuß
In this paper we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap assis…
math.ST2013★ 4 cited
Detection of multiple structural breaks in multivariate time series
Philip Preuß, Ruprecht Puchstein, Holger Dette
We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second- order) piecewise s…