Testing parametric assumptions of trends of a nonstationary time series

• 成果类型: Article
• 署名作者: Zhang, Ting; Wu, Wei Biao
• 署名单位: University of Chicago
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asr017
• 发表日期: 2011
• 页码: 599614
• 关键词: central england temperatures; integrated square error; Nonparametric Regression; limited signals; bandwidth; difference; inference; variance; models; fit

摘要

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.