relation: https://episodesplatform.eu/eprints/1885/
title: A Test for Non-Stationarity of Time-Series
creator: Priestley, M. B.
creator: Subba Rao, T.
subject: Stationarity testing
description: 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).
publisher: Wiley for the Royal Statistical Society
date: 1969
type: Article
type: NonPeerReviewed
identifier:   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.      
relation: http://www.jstor.org/stable/2984336