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- Title
Study of the Stationarity of Random Time Series Using the Principle of the Information-Divergence Minimum.
- Authors
Savchenko, V.V.
- Abstract
Using the theoretic-information approach and the criterion of the information-divergence minimum in the Kullback-Leibler metric, we propose a new algorithm for checking the time series for stationarity in a broad sense. We consider an example of realizing this algorithm, study its dynamic characteristics, and give recommendations on its use under conditions of small samples.
- Subjects
TIME series analysis; ALGORITHMS; AUTOCORRELATION (Statistics); POWER spectra; SPECTRAL energy distribution
- Publication
Radiophysics & Quantum Electronics, 2017, Vol 60, Issue 1, p81
- ISSN
0033-8443
- Publication type
Article
- DOI
10.1007/s11141-017-9778-y