A Frequency-Domain approach to detect nonstationarity in dependent data
Mohamedou Ould Haye, Anne Philippe
Abstract
Distinguishing long memory behaviour from nonstationarity can be very difficult as in both cases the sample autocovariance function decays very slowly. Available stationarity tests either do not include long memory or fare poorly in terms of empirical size, especially near the boundary between long memory and nonstationarity. We propose a testing procedure based on evaluating periodograms at different epochs. Limiting distributions established here are easily tractable as sum of weighted independent χ2 random variables. Moreover, numerical studies are provided to show that the proposed approach seems to outperform existing methods.
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