%A M. B. Priestley
%A T. Subba Rao
%J Journal of the Royal Statistical Society. Series B (Methodological)
%T A Test for Non-Stationarity of Time-Series
%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).
%N 1
%K Analysis of variance, Spectral energy distribution, Stationary processes, Statism, Spectral methods, Signal bandwidth, Spectroscopy, Randomness, Continuous spectra, Mathematical independent variables
%P 140-149
%V 31
%D 1969
%I Wiley for the Royal Statistical Society
%L epos1885