DOAJ Open Access 2020

Robust Test for Detecting Changes in the Autocovariance Function of a Time Series

Alexander Dürre Roland Fried

Abstrak

We propose a new robust test to detect changes in the autocovariance function of a time series. The test is based on empirical autocovariances of a robust transformation of the original time series. Because of the transformation, we do not require any finite moments of the original time series, making the test especially suitable for heavy tailed time series. We furthermore propose a lag weighting scheme, which puts emphasis on changes of the autocovariance at smaller lags. Our approach is compared to existing ones in some simulations.

Topik & Kata Kunci

Probabilities. Mathematical statistics Statistics

Penulis (2)

Alexander Dürre

Roland Fried

Format Sitasi

APA MLA BibTeX

Dürre, A., Fried, R. (2020). Robust Test for Detecting Changes in the Autocovariance Function of a Time Series. https://doi.org/10.17713/ajs.v49i4.1123

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Informasi Jurnal

Tahun Terbit: 2020
Sumber Database: DOAJ
DOI: 10.17713/ajs.v49i4.1123
Akses: Open Access ✓