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