Re: stationary, or not stationary: time series dilemma

["Padhye, Nikhil S" <Nikhil.S.Padhye@uth.tmc.edu>]

We use a stationarity test based on the Kolmogorov-Smirnov test of difference between distributions on subsets of the test segment. As Eric Zivot pointed out, this is once again a test of one kind of stationarity, but it is more robust than testing for varying means or variances. In any case, all stationarity tests that I am aware of pertain to weak stationarity, and this is usually sufficient. Unfortunately, I do not have a S-Plus implementation that I could forward to you.

 

Nikhil

________________________________________________

N. S. Padhye, Ph.D.

Research Assistant Professor, Biostatistician

The University of Texas Health Science Center at Houston

http://www.uth.tmc.edu

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From: s-news-owner@lists.biostat.wustl.edu [mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of Lambert.Winnie
Sent: Tuesday, February 05, 2008 10:02 AM
To: S-PLUS Newsgroup
Subject: [S] stationary, or not stationary: time series dilemma

All,

 

Is there a function in S-PLUS that can be used to test whether a time series is stationary or not? Thanks.

 

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