A wavelet-based test for stationarity
From MaRDI portal
A test for stationarity of a time series against the alternative of time varying covariance structure is proposed. The authors' approach is based on the following general idea: using special segmentations one can test a change of the autocovariance structure.
Recommendations
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- A Note on Testing Covariance Stationarity
- ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS
- scientific article; zbMATH DE number 1062623
- A test for stationarity based on empirical processes
Cited in
(40)- Multiscale spectral analysis for detecting short and long range change points in time series
- Practical powerful wavelet packet tests for second-order stationarity
- Predictive, finite-sample model choice for time series under stationarity and non-stationarity
- Minimax optimal procedures for testing the structure of multidimensional functions
- Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density
- A wavelet-based approach for detecting changes in second order structure within nonstationary time series
- Wavelet testing for a replicate-effect within an ordered multiple-trial experiment
- Testing for stationarity of functional time series in the frequency domain
- A test for second-order stationarity of a time series based on the maximum of Anderson-Darling statistics
- Wavelet spectral testing: application to nonstationary circadian rhythms
- A test for second order stationarity of a multivariate time series
- A stationarity test on Markov chain models based on marginal distribution
- A test for stationarity based on empirical processes
- On local power properties of frequency domain-based tests for stationarity
- Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
- A spectral domain test for stationarity of spatio-temporal data
- Thick Pen Transformation for Time Series
- Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
- A Note on Testing Covariance Stationarity
- Analysis of structural break models based on the evolutionary spectrum: Monte Carlo study and application
- Testing for stationarity in multivariate locally stationary processes
- A Scale‐space Approach for Detecting Non‐stationarities in Time Series
- Discriminating between long-range dependence and non-stationarity
- scientific article; zbMATH DE number 1062623 (Why is no real title available?)
- UNIT ROOT TESTS WITH WAVELETS
- A test for second-order stationarity of a time series based on the discrete Fourier transform
- Case study: shipping trend estimation and prediction via multiscale variance stabilisation
- A nonparametric test for stationarity in functional time series
- A test for weak stationarity in the spectral domain
- COMPARING TIME-VARYING AUTOREGRESSIVE STRUCTURES OF LOCALLY STATIONARY PROCESSES
- Detecting mean break in time series using discrete wavelet transform
- Tests of Correlation Among Wavelet-Based Estimates for Long Memory Processes
- scientific article; zbMATH DE number 3290822 (Why is no real title available?)
- ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS
- Testing temporal constancy of the spectral structure of a time series
- White noise testing using wavelets
- A test for second-order stationarity of time series based on unsystematic sub-samples
- Measuring the degree of non-stationarity of a time series
- A bootstrapped test of covariance stationarity based on orthonormal transformations
- Modeling nonstationary time series using locally stationary basis processes
This page was built for publication: A wavelet-based test for stationarity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2742782)
