On-Line Monitoring the Stationarity for Time Seires

Zhan Shou Chen

doi:10.4028/www.scientific.net/AMM.444-445.687

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 444-445On-Line Monitoring the Stationarity for Time...

On-Line Monitoring the Stationarity for Time Seires

Abstract:

When analyzing time series an important issue is to decide whether the time series is stationary or nonstationary. Fixed sample statistical tests for that problem are well studies in the literature. In this paper we propose a moving variance ratio statistic to monitor the stationarity for normal sequence. Our Monte Carlo studies show that the proposed monitoring procedure has satisfactory test power and that the decision can often be made very early.

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Periodical:

Applied Mechanics and Materials (Volumes 444-445)

Pages:

687-691

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.444-445.687

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Online since:

October 2013

Authors:

Zhan Shou Chen

Keywords:

Average Run Length, Non-Stationarity, On-Line Monitoring, Stationarity

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