JSM 2011 Online Program

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Abstract Details

Activity Number: 623
Type: Contributed
Date/Time: Thursday, August 4, 2011 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #302672
Title: Testing Parametric Assumptions of Trends of Nonstationary Time Series
Author(s): Ting Zhang*+ and Wei Wu
Companies: The University of Chicago and The University of Chicago
Address: Department of Statistics, Chicago, IL, 60637,
Keywords: Bias correction ; Central limit theorem ; Integrated squared errors ; Local linear estimation ; Locally stationary processes ; Nonparametric hypothesis testing
Abstract:

We consider testing whether the mean trend of a non-stationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and a simulation-based testing procedure is proposed. Our methods are illustrated in simulation studies, and 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.


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