Inference of trends in time series

Wei Biao Wu, Zhibiao Zhao

Research output: Contribution to journalArticle

94 Scopus citations

Abstract

We consider statistical inference of trends in mean non-stationary models. A test statistic is proposed for the existence of structural breaks in trends. On the basis of a strong invariance principle of stationary processes, we construct simultaneous confidence bands with asymptotically correct nominal coverage probabilities. The results are applied to global warming temperature data and Nile river flow data. Our confidence band of the trend of the global warming temperature series supports the claim that the trend is increasing over the last 150 years.

Original languageEnglish (US)
Pages (from-to)391-410
Number of pages20
JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
Volume69
Issue number3
DOIs
StatePublished - Jun 1 2007

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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