Chandler, Gabriel; Polonik, Wolfgang - In: Journal of the American Statistical Association 107 (2012) 499, pp. 1217-1229
In many applications, time series exhibit nonstationary behavior that might reasonably be modeled as a time-varying autoregressive (AR) process. In the context of such a model, we discuss the problem of testing for modality of the variance function. We propose a test of modality that is local...