This is a stationarity test, it tests whether a given moment is constant during the time series (null hypothesis). The Wald Wolfowitz nonparametric fitness test is applied to time series. The test uses the “overall moment” of a time series as a constant fitness function for the moment computed over a set of subsample of the same time series. If the null is not rejected, the subsample moments are constant.
|Version||Submitter||First published||Last modified||Status|
|1.0.0||Jakob Grazzini||Mon Nov 29 19:26:39 2010||Sat Apr 27 20:18:48 2013||Published|