Academic Journal
Identifying trend nature in time series using autocorrelation functions and R-routines based on stationarity tests
| العنوان: | Identifying trend nature in time series using autocorrelation functions and R-routines based on stationarity tests |
|---|---|
| المؤلفون: | Boutahar, M, Royer-Carenzi, M |
| المساهمون: | Institut de Mathématiques de Marseille (I2M), Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS) |
| المصدر: | ISSN: 1757-1170. |
| بيانات النشر: | HAL CCSD Inderscience Publishers |
| سنة النشر: | 2024 |
| المجموعة: | Aix-Marseille Université: HAL |
| مصطلحات موضوعية: | time series, stationarity, autocorrelation functions, unit root tests, Dickey-Fuller, KPSS, OPP test, trend detection, deterministic or stochastic trend, quadratic trends involve spurious unit root, unit root test, quadratic trend, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] |
| الوصف: | International audience ; Time series non-stationarity can be detected thanks to autocorrelation functions. But trend nature, either deterministic or either stochastic, is not identifiable. Strategies based on Dickey-Fuller unit root-test are appropriate to choose between a linear deterministic trend or a stochastic trend. But all the observed deterministic trends are not linear, and such strategies fail in detecting a quadratic deterministic trend. Being a confounding factor, a quadratic deterministic trend makes appear a unit root spuriously. We provide a new procedure, based on Ouliaris-Park-Phillips unit root test, convenient for time series containing polynomial trends with degree higher than one. Our approach is assessed on simulated data. The strategy is finally applied on two real datasets : number of terminated pregnancies in Québec, Canada, and atmospheric CO2 concentration. Compared with Dickey-Fuller diagnosis, our strategy provides the model with the best performances. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | hal-03468714; https://hal.science/hal-03468714; https://hal.science/hal-03468714v2/document; https://hal.science/hal-03468714v2/file/mainv40.pdf |
| الاتاحة: | https://hal.science/hal-03468714 https://hal.science/hal-03468714v2/document https://hal.science/hal-03468714v2/file/mainv40.pdf |
| Rights: | info:eu-repo/semantics/OpenAccess |
| رقم الانضمام: | edsbas.E076BA46 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |