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Testing parametric assumptions of trends of a nonstationary time series. (English) Zbl 1231.62166
Summary: The paper considers testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied to assess the mean pattern of life time-maximum wind speeds of global tropical cyclones from 1981 to 2006. We also revisit the trend pattern in the central England temperature series.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G10 Nonparametric hypothesis testing
62F03 Parametric hypothesis testing
60F05 Central limit and other weak theorems
65C60 Computational problems in statistics (MSC2010)
62P12 Applications of statistics to environmental and related topics
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