Stationarity tests in time series model
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Mukhtar M. Ali; Richard Thalheimer
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Article
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1983
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John Wiley and Sons
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English
β 571 KB
Optimum non-parametric tests for stationarity of a stochastic process against location and scale shift alternatives are explored. Usefulness of these tests in detecting a suitable differencing transformation that reduces a nonstationary time series to a stationary one is illustrated with a number of