AN ASYMPTOTIC TEST FOR CONSTANCY OF THE VARIANCE UNDER SHORT-RANGE DEPENDENCE

• 成果类型: Article
• 署名作者: Schmidt, Sara K.; Wornowizki, Max; Fried, Roland; Dehling, Herold
• 署名单位: Ruhr University Bochum; Dortmund University of Technology
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/21-AOS2092
• 发表日期: 2021
• 页码: 3460-3481
• 关键词: squares; VALUES; ORDER

摘要

We present a novel approach to test for heteroscedasticity of a nonstationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic, we establish new limit theorems for U-statistics of dependent triangular arrays. We derive the asymptotic distribution of the test statistic under the null hypothesis of a constant variance and show that the test is consistent against a large class of alternatives, including multiple structural breaks in the variance. Our test is applicable even in the case of nonstationary processes, assuming a locally stationary mean function. The performance of the test and its comparatively low computation time are illustrated in an extensive simulation study. As an application, we analyse Google Trends data, monitoring the relative search interest for the topic global warming.