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arXiv · 2003.05006

Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach

Yan Cui·Michael Levine·Zhou Zhou
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Abstract

We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it is contaminated by a complex trend with both abrupt and smooth changes. Simultaneous confidence bands (SCB) with asymptotically correct coverage probabilities are constructed for the auto-covariance functions under complex trend. A simulation-assisted bootstrapping method is proposed for the practical construction of the SCB. Detailed simulation and a real data example round out our presentation.

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Yan Cui, Michael Levine, Zhou Zhou. 2020-03-10. Estimation and Inference of Time-Varying Auto-Covariance under Complex Trend: A Difference-based Approach. https://arxiv.org/abs/2003.05006

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