A Measure of Stationarity in Locally Stationary Processes With Applications to Testing
局部平稳过程的平稳性度量及检验应用
In this article we investigate the problem of measuring deviations from stationarity in locally stationary time series. Our approach is based on a direct estimate of the L2-distance between the spectral density of the locally stationary process and its best approximation by a spectral density of a stationary process. An explicit expression of the minimal distance is derived, which depends only on integrals of the spectral density of the locally stationary process and its…