%0 Journal Article
%@ 0035-9246
%A Priestley, M. B.
%A Subba Rao, T.
%A University of Manchester, Institute of Science and Technology,
%A University of Manchester, Institute of Science and Technology,
%D 1969
%F epos:1885
%I Wiley for the Royal Statistical Society
%J Journal of the Royal Statistical Society. Series B (Methodological)
%K Analysis of variance, Spectral energy distribution, Stationary processes, Statism, Spectral methods, Signal bandwidth, Spectroscopy, Randomness, Continuous spectra, Mathematical independent variables
%N 1
%P 140-149
%T A Test for Non-Stationarity of Time-Series
%U https://episodesplatform.eu/eprints/1885/
%V 31
%X 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).