Corpus ID: 1931920

A Nonparametric Test for Stationarity in Continuous-Time Markov Processes

@inproceedings{Kanaya2011ANT,
  title={A Nonparametric Test for Stationarity in Continuous-Time Markov Processes},
  author={Shin Kanaya},
  year={2011}
}
  • Shin Kanaya
  • Published 2011
  • In this paper, we propose a new nonparametric testing procedure to examine the stationarity property of an underlying continuous-time Markov process. The stationarity is often assumed in building/estimating dynamic models in economics and …nance. However, existing statistical methods to check the stationarity typically rely on a particular parametric assumption called a unit root. The unit-root concept is well de…ned for a certain class of parametric models in discrete time settings (e.g… CONTINUE READING
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