Functional Estimation and Change Detection for Nonstationary Time Series
非平稳时间序列的泛函估计与变化检测
Tests for structural breaks in time series should ideally be sensitive to breaks in the parameter of interest, while being robust to nuisance changes. Statistical analysis thus needs to allow for some form of nonstationarity under the null hypothesis of no change. In this paper, estimators for integrated parameters of locally stationary time series are constructed and a corresponding functional central limit theorem is established, enabling change-point inference for a broad…