On Local Power Properties of Frequency Domain-based Tests for Stationarity

Abstract

A framework for the asymptotic analysis of local power properties of tests of stationarity in time series analysis is developed. Appropriate sequences of locally stationary processes are defined that converge at a controlled rate to a limiting stationary process as the length of the time series increases. Different interesting classes of local alternatives to the null hypothesis of stationarity are then considered, and the local power properties of some recently proposed, frequency domain-based tests for stationarity are investigated. Some simulations illustrate our theoretical findings. © 2015 Board of the Foundation of the Scandinavian Journal of Statistics