22 citations · 26 across the 5 of their papers we have counts for
7 papers
Predictive, finite-sample model choice for time series under stationarity and non-stationarity
Tobias Kley, Philip Preuß, Piotr Fryzlewicz
In statistical research there usually exists a choice between structurally simpler or more complex models. We argue that, even if a more complex, locally stationary time series mod…
A test for stationarity based on empirical processes
Philip Preuß, Mathias Vetter, Holger Dette
In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type di…
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…
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…
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…
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…
Comparing spectral densities of stationary time series with unequal sample sizes
Philip Preuß, Thimo Hildebrandt
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of s…