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math.ST2013
Detecting long-range dependence in non-stationary time series
Philip Preuß, Kemal Sen, Holger Dette
An important problem in time series analysis is the discrimination between non-stationarity and longrange dependence. Most of the literature considers the problem of testing specif…
math.ST2013
Measuring stationarity in long-memory processes
Kemal Sen, Philip Preuss, Holger Dette
In this paper we consider the problem of measuring stationarity in locally stationary long-memory processes. We introduce an -distance between the spectral density of the loca…