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test of stationnarity

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  • Courbet Oran
    Dear all, Somebody can tell me how to test the stationnary hypothesis invoked in time series analysis ? Best wishes to the yahoogroups. Courbet ... Nouveau :
    Message 1 of 2 , Jan 1, 2006
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      Dear all,

      Somebody can tell me how to test the stationnary hypothesis
      invoked in time series analysis ?

      Best wishes to the yahoogroups.

      Courbet



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    • Michel C. Boufadel
      If you have one time series, then the decision on the stationarity of the data is actually an assumption (needed in most cases). Strict stationarity indicates
      Message 2 of 2 , Jan 11, 2006
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        If you have one time series, then the decision on the
        stationarity of the data is actually an assumption (needed in
        most cases). Strict stationarity indicates that the
        probability distribution is independent of location. Weak
        stationarity is more commonly used (since Kolmogorov in the
        1960s). It is that the correlation function depends on the
        spacing between two points and not the actual location.

        There are tons of books on the subject, but in my modest
        experience, I think that there is a judgment call when dealing
        with engineering/environmental problems.

        Bonne Chance

        Michel C. Boufadel, Ph.D., PE
        Associate Professor
        Dept. of Civil and Env. Enggr, Room 511
        Temple University, 1947 N. 12th Street
        Philadelphia, PA 19122
        Ph:(215) 204-7871; Fax: (215) 204-4696
        boufadel@...; http://www.temple.edu/environment



        ---- Original message ----
        >Date: Sun, 1 Jan 2006 17:50:12 +0100 (CET)
        >From: Courbet Oran <courantfr@...>
        >Subject: [gwmodel] test of stationnarity
        >To: gwmodel@yahoogroups.com
        >
        >Dear all,
        >
        > Somebody can tell me how to test the
        stationnary hypothesis
        > invoked in time series analysis ?
        >
        > Best wishes to the yahoogroups.
        >
        >
        Courbet
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