Based on the nonlinear system theory, we introduce previously undescribed dependence measures for stationary causal processes. Our physical and predictive dependence measures quantify the degree of dependence of outputs on inputs in physical systems. The proposed dependence measures provide a natural framework for a limit theory for stationary processes. In particular, under conditions with quite simple forms, we present limit theorems for partial sums, empirical processes, and kernel density estimates. The conditions are mild and easily verifiable because they are directly related to the data-generating mechanisms.nonlinear time series ͉ limit theory ͉ kernel estimation ͉ weak convergence
We establish strong invariance principles for sums of stationary and ergodic
processes with nearly optimal bounds. Applications to linear and some nonlinear
processes are discussed. Strong laws of large numbers and laws of the iterated
logarithm are also obtained under easily verifiable conditions.Comment: Published in at http://dx.doi.org/10.1214/009117907000000060 the
Annals of Probability (http://www.imstat.org/aop/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Summary.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.
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