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A Wavelet-Based Test for Stationarity

  • We develop a test for stationarity of a time series against the alternative of a time-changing covariance structure. Using localized versions of the periodogram, we obtain empirical versions of a reasonable notion of a time-varying spectral density. Coefficients w.r.t. a Haar wavelet series expansion of such a time-varying periodogram are a possible indicator whether there is some deviation from covariance stationarity. We propose a test based on the limit distribution of these empirical coefficients.

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Author:Rainer von Sachs, Michael H. Neumann
URN (permanent link):urn:nbn:de:hbz:386-kluedo-5877
Serie (Series number):Berichte der Arbeitsgruppe Technomathematik (AGTM Report) (182)
Document Type:Preprint
Language of publication:English
Year of Completion:1997
Year of Publication:1997
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2000/04/03
Tag:Locally stationary processes; stationarity; test; time series; wavelets
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011