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Titel
An asymptotic test for constancy of the variance under short-range dependence / Sara Schmidt, Max Wornowizki, Roland Fried, Herold Dehling
VerfasserSchmidt, Sarah ; Wornowizki, Max ; Fried, Roland ; Dehling, Herold
ErschienenDortmund : Universitätsbibliothek Dortmund, February 21, 2020
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Elektronische Ressource
Umfang1 Online-Ressource (57 Seiten) : Diagramme
SerieDiscussion paper ; Nr. 5/2020
SchlagwörterChange-point-Problem / Heteroskedastizität / U-Statistik / Korrelation
URNurn:nbn:de:hbz:6:2-128645 
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An asymptotic test for constancy of the variance under short-range dependence [0.64 mb]
Zusammenfassung

We present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order to analyse the large sample behaviour of our test statistic, we establish new limit theorems for U-statistics of dependent triangular arrays. We derive the asymptotic distribution of the test statistic under the null hypothesis of a constant variance and show that the test is consistent against a large class of alternatives, including multiple structural breaks in the variance. Our test is applicable even in the case of non-stationary processes, assuming a locally stationary mean function. The performance of the test and its comparatively low computation time are illustrated in an extensive simulation study. As an application, we analyse data from civil engineering, monitoring crack widths in concrete bridge surfaces.

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