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MathGroup Archive 2006

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Re: Stationarity testing of data

  • To: mathgroup at smc.vnet.net
  • Subject: [mg65621] Re: [mg65554] Stationarity testing of data
  • From: Darren Glosemeyer <darreng at wolfram.com>
  • Date: Tue, 11 Apr 2006 04:04:33 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

I think what you will want is a statistical test of stationarity or for a 
trend.  The Sign-Difference Test described in the Time Series docs provides 
one possible test based on the residuals of a fitted model.

Darren Glosemeyer
Wolfram Research

At 06:14 AM 4/7/2006 -0400, john.hawkin at gmail.com wrote:
>Hello,
>
>I have a second question about time series analysis in mathematica.
>Are there any built in functions to test the stationarity of a set of
>data?  You can test the stationarity of a given model using
>StationaryQ, but I can't find a function to test the stationarity of an
>instance of that model, or any other data set.
>
>Thanks,
>
>-John Hawkin


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