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 |
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1.0.0 | Jakob Grazzini | Mon Nov 29 19:26:39 2010 | Sat Apr 27 20:18:48 2013 | Published |