A Global Wavelet Based Bootstrapped Test of Covariance Stationarity
基于全局小波与自助法的协方差平稳性检验
We propose a covariance stationarity test for an otherwise dependent and possibly globally non-stationary time series. We work in a generalized version of the new setting in Jin, Wang and Wang (2015), who exploit Walsh (1923) functions in order to compare sub-sample covariances with the full sample counterpart. They impose strict stationarity under the null, only consider linear processes under either hypothesis in order to achieve a parametric estimator for an inverted high…