Asymptotic nonparametric statistical analysis of stationary time series
It provides theoretical insights into what statistical tasks are feasible under stationarity alone, which is crucial for researchers in time series analysis and nonparametric statistics, though it is incremental in building on recent results.
The paper addresses the challenge of performing statistical inference on stationary time series, a general assumption often considered too broad for reliable analysis, and shows that many problems like clustering and change-point estimation can be solved with asymptotically consistent algorithms, while others like homogeneity testing are provably impossible.
Stationarity is a very general, qualitative assumption, that can be assessed on the basis of application specifics. It is thus a rather attractive assumption to base statistical analysis on, especially for problems for which less general qualitative assumptions, such as independence or finite memory, clearly fail. However, it has long been considered too general to allow for statistical inference to be made. One of the reasons for this is that rates of convergence, even of frequencies to the mean, are not available under this assumption alone. Recently, it has been shown that, while some natural and simple problems such as homogeneity, are indeed provably impossible to solve if one only assumes that the data is stationary (or stationary ergodic), many others can be solved using rather simple and intuitive algorithms. The latter problems include clustering and change point estimation. In this volume I summarize these results. The emphasis is on asymptotic consistency, since this the strongest property one can obtain assuming stationarity alone. While for most of the problems for which a solution is found this solution is algorithmically realizable, the main objective in this area of research, the objective which is only partially attained, is to understand what is possible and what is not possible to do for stationary time series. The considered problems include homogeneity testing, clustering with respect to distribution, clustering with respect to independence, change-point estimation, identity testing, and the general question of composite hypotheses testing. For the latter problem, a topological criterion for the existence of a consistent test is presented. In addition, several open questions are discussed.