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Verlagsausgabe
DOI: 10.5445/IR/1000080235
Veröffentlicht am 22.10.2018

Size and power of tests for assessing weak stationarity of time series data: an empirical investigation

Luo, Xiaoguang

Abstract (englisch):
Whether or not a time series is weakly stationary has long been a question of major interest in the field of time series analysis. Stationary time series can be sufficiently described by means of autoregressive moving average (ARMA) processes. When modelling temporal correlations of GNSS observation noise, the applicability of ARMA processes depends on the stationarity of residual time series from GNSS data analysis. According to the property that stationary processes have homogenous variances, statistical inferences on stationarity can be made by testing for homogeneity of variance (HOV). In addition, considering a time series as a realisation of a stochastic process, stationarity can be assessed by testing for stochastic trends using unit root tests. Based on representative data simulations, this paper analyses the empirical size and power of commonly used HOV and unit root tests. The results show that the performance of the HOV test is strongly affected by serial correlations, whereas the unit root test produces high power without significant size distortions.


Zugehörige Institution(en) am KIT Geodätisches Institut (GIK)
Publikationstyp Buchaufsatz
Jahr 2018
Sprache Englisch
Identifikator ISBN: 978-3-7315-0777-2
ISSN: 1612-9733
URN: urn:nbn:de:swb:90-802356
KITopen ID: 1000080235
Erschienen in (Schw)Ehre, wem (Schw)Ehre gebührt : Festschrift zur Verabschiedung von Prof. Dr.-Ing. Dr. h.c. Bernhard Heck. Hrsg.: A. Heck
Verlag KIT Scientific Publishing, Karlsruhe
Seiten 187-194
Serie Schriftenreihe des Studiengangs Geodäsie und Geoinformatik / Karlsruher Institut für Technologie, Studiengang Geodäsie und Geoinformatik ; 2018,1
Bemerkung zur Veröffentlichung Verlagsausgabe zusätzlich registriert unter DOI: 10.5445/KSP/1000080235
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