Testing parametric assumptions of trends of a nonstationary time series

Ting Zhang and Wei Biao Wu

Biometrika, 2011, vol. 98, issue 3, 599-614

Abstract: The paper considers testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied to assess the mean pattern of lifetime-maximum wind speeds of global tropical cyclones from 1981 to 2006. We also revisit the trend pattern in the central England temperature series. Copyright 2011, Oxford University Press.

Date: 2011
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