Monitoring procedures for strict stationarity based on the multivariate characteristic function

Sangyeol Lee, Simos G. Meintanis and Charl Pretorius

Journal of Multivariate Analysis, 2022, vol. 189, issue C

Abstract: We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the multivariate empirical characteristic function. Asymptotic results are obtained for the closed-end scenario and Monte Carlo results are presented. The new methods are also employed in order to test for possible stationarity breaks in time-series data from the financial sector.

Keywords: Block bootstrap; Change-point; Empirical characteristic function; Strict stationarity (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2021.104892

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