uasa_a_1456935_sm1058.pdf (595.43 kB)
Testing for Trends in High-Dimensional Time Series
Version 2 2018-07-11, 14:49
Version 1 2018-04-02, 18:42
journal contribution
posted on 2018-07-11, 14:49 authored by Likai Chen, Wei Biao WuThe article considers statistical inference for trends of high-dimensional time series. Based on a modified distance between parametric and nonparametric trend estimators, we propose a de-diagonalized quadratic form test statistic for testing patterns on trends, such as linear, quadratic, or parallel forms. We develop an asymptotic theory for the test statistic. A Gaussian multiplier testing procedure is proposed and it has an improved finite sample performance. Our testing procedure is applied to a spatial temporal temperature data gathered from various locations across America. A simulation study is also presented to illustrate the performance of our testing method. Supplementary materials for this article are available online.