Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series

Axel Bücher, Jean‐David Fermanian and Ivan Kojadinovic

Journal of Time Series Analysis, 2019, vol. 40, issue 1, 124-150

Abstract: We derive tests of stationarity for univariate time series by combining change‐point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a general procedure for combining dependent tests based on resampling. After proving the asymptotic validity of the combining procedure under the conjunction of null hypotheses and investigating its consistency, we study rank‐based tests of stationarity by combining cumulative sum change‐point tests based on the contemporary empirical distribution function and on the empirical autocopula at a given lag. Extensions based on tests solely focusing on second‐order characteristics are proposed next. The finite‐sample behaviors of all the derived statistical procedures for assessing stationarity are investigated in large‐scale Monte Carlo experiments, and illustrations on two real datasets are provided. Extensions to multi‐variate time series are briefly discussed as well.

Date: 2019
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