Priestley, M. B. and Subba Rao, T. (1969) A Test for Non-Stationarity of Time-Series. Journal of the Royal Statistical Society. Series B (Methodological), 31 (1). pp. 140-149.
Full text not available from this repository.Abstract
We consider the problem of testing a given time-series for stationarity. The approach is based on evolutionary spectral analysis, and the proposed method consists essentially in testing the "homogeneity" of a set of evolutionary spectra evaluated at different instants of time. Using a logarithmic transformation, we show that the mechanics of the test are formally equivalent to a two-factor analysis of variance procedure when the residual variance is known, a priori. In addition to testing stationarity, the analysis provides also a method for testing whether the observed series fits a "uniformly modulated" model, and a test for "randomness" (constancy of spectra).
[error in script]| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Analysis of variance, Spectral energy distribution, Stationary processes, Statism, Spectral methods, Signal bandwidth, Spectroscopy, Randomness, Continuous spectra, Mathematical independent variables |
| Application references: | Stationarity test |
| Subjects: | Methodology > Method and procesing > Collective properties of seismicity > Stationarity testing |
| Project: | EPOS-IP |
