Statistical Tests for Stationarity within the Framework of Harmonizable Processes

摘要

Time series are viewed within the framework of harmonizable processes and certain of their properties described under the hypothesis of stationarity. Corresponding statistics obtained from a sample of the time series are derived which provide a basis for testing the stationarity hypothesis. The distributions of these statistics are given and descriptions of the types of nonstationary that cause these tests to fail are presented. (Author)