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.
At 06:14 AM 4/7/2006 -0400, john.hawkin at gmail.com wrote:
>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.
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