We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
Measuring the degree of non-stationarity of a time series.
- Authors
Das, Sourav; Nason, Guy P.
- Abstract
In time series analysis, there is an extensive literature on hypothesis tests that attempt to distinguish a stationary time series from a non-stationary one. However, the binary distinction provided by a hypothesis test can be somewhat blunt when trying to determine the degree of non-stationarity of a time series. This article creates an index that estimates a degree of non-stationarity. This index might be used, for example, to classify or discriminate between series. Our index is based on measuring the roughness of a statistic estimated from the time series, which is calculated from the roughness penalty associated with a spline smoothing/penalized least-squares method. We further use a resampling technique to obtain a likely range of index values obtained from a single realization of a time series. We apply our method to ascertain and compare the non-stationarity index of the well-known earthquake and explosion data. © 2016 The Authors. Stat Published by John Wiley & Sons Ltd
- Subjects
TIME series analysis; STATISTICAL bootstrapping; REGRESSION analysis; HYPOTHESIS; SPLINES
- Publication
Stat, 2016, Vol 5, Issue 1, p295
- ISSN
2049-1573
- Publication type
Article
- DOI
10.1002/sta4.125