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Activity Number:
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122
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305351 |
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Title:
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A Frequency Domain Approach for Testing for Second-Order Stationarity
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Author(s):
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Yogesh Dwivedi*+
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Companies:
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Texas A&M University
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Address:
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Department of Statistics, College Station, TX, 77843,
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Keywords:
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Abstract:
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In this talk we consider a test for second order stationarity based on the discrete fourier transform. We obtain the asymptotic sampling properties of the test statistic under the null and the alternative of local stationarity. We conduct a simulation study and show that even under a slight deviation from stationarity the test is powerful. We illustrate our method with real life data examples, for example monthly temperature anomalies from 1900--present.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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