Computational Model Library

Stationarity Test (version 1.0.0)

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


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