eprintid: 1885
rev_number: 7
eprint_status: archive
userid: 2
dir: disk0/00/00/18/85
datestamp: 2017-02-08 13:46:40
lastmod: 2018-03-28 12:08:56
status_changed: 2017-02-08 13:46:40
type: article
metadata_visibility: show
creators_name: Priestley, M. B.
creators_name: Subba Rao, T.
corp_creators: University of Manchester, Institute of Science and Technology
corp_creators: University of Manchester, Institute of Science and Technology
title: A Test for Non-Stationarity of Time-Series
subjects: MP2_1
divisions: EPOS-IP
full_text_status: none
keywords: Analysis of variance, Spectral energy distribution, Stationary processes, Statism, Spectral methods, Signal bandwidth, Spectroscopy, Randomness, Continuous spectra, Mathematical independent variables
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).
date: 1969
date_type: published
publication: Journal of the Royal Statistical Society. Series B (Methodological)
volume: 31
number: 1
publisher: Wiley for the Royal Statistical Society
pagerange: 140-149
issn: 0035-9246
official_url: http://www.jstor.org/stable/2984336
access_IS-EPOS: limited
software_references: Stationarity_test
owner: Publisher
citation:   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.