We study statistical inferences for a class of modulated stationary processes with time-dependent variances. Due to non-stationarity and the large number of unknown parameters, existing methods for stationary, or locally stationary, time series are not applicable. Based on a self-normalization technique, we address several inference problems, including a self-normalized central limit theorem, a self-normalized cumulative sum test for the change-point problem, a long-run variance estimation through blockwise self-normalization, and a self-normalization-based wild bootstrap. Monte Carlo simulation studies show that the proposed self-normalization-based methods outperform stationarity-based alternatives. We demonstrate the proposed methodology using two real data sets: annual mean precipitation rates in Seoul from 1771–2000, and quarterly U.S. Gross National Product growth rates from 1947–2002.
"Inference for modulated stationary processes." Bernoulli 19 (1) 205 - 227, February 2013. https://doi.org/10.3150/11-BEJ399