Subsampling for nonstationary time series with non-zero mean function

Anna Dudek (1, 2) , Łukasz Lenart (3)

1 UR2 - Université de Rennes 2
2 AGH UST - AGH University of Science and Technology [Krakow, PL]
3 Cracow University of Economics

In this paper a subsampling approach for nonstationary time series with a non-zero mean function is proposed. It is applied for periodically and almost periodically processes. Two statistical tests are constructed. An example with real data is presented.

Mots clés: autocovariance function; almost periodically correlated; testing; periodicity; Fourier coefficients

Domaines: Statistiques [stat]

Anna Dudek, Łukasz Lenart. Subsampling for nonstationary time series with non-zero mean function. Statistics and Probability Letters, 2017, 129, pp.252-259. ⟨10.1016/j.spl.2017.06.002⟩. ⟨hal-01415632v4⟩