Test of Stationarity

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A Test of Stationarity is a statistical test for ...



References

2013

  • https://people.maths.bris.ac.uk/~magpn/Research/LSTS/TOS.html
    • QUOTE: .... your time series is loaded into your favourite statistical package. What now? Probably the first thing you need to do is produce a plot of your time series. The plot will give you an idea of the overall levels and variability of the series. The plot will give you an idea of any trends or seasonality in the series. ... After trend and seasonality are assessed they are often removed and the residuals are then further analyzed for stochastic structure.

      Often, the next step commonly advocated is to compute autocorrelations or autocovariance (again, see the brief introduction to stationary series for more details on this). However, these statistics rely on the assumption that the series is stationary, i.e. has statistical properties that do not change with time.

      We were a little vague in the introduction about the definition of a stationary series. In fact, there are different, related (and more technical) definitions of stationarity. We will attempt to describe them here in informal terms.

2003

  • Chatfield, C. (2003) The Analysis of Time Series: An Introduction, Chapman and Hall/CRC Press, sixth edition.