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Inference of trends in time series

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  • Wei Biao Wu
  • Zhibiao Zhao

Abstract

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.

Suggested Citation

  • Wei Biao Wu & Zhibiao Zhao, 2007. "Inference of trends in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(3), pages 391-410, June.
    • Handle: RePEc:bla:jorssb:v:69:y:2007:i:3:p:391-410
    DOI: 10.1111/j.1467-9868.2007.00594.x
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