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dc.contributor.authorCardinali, A
dc.contributor.authorNason, GP
dc.date.accessioned2018-11-27T12:00:53Z
dc.date.available2018-11-27T12:00:53Z
dc.date.issued2018-05
dc.identifier.issn1063-5203
dc.identifier.issn1096-603X
dc.identifier.urihttp://hdl.handle.net/10026.1/12910
dc.description.abstract

Methods designed for second-order stationary time series can be misleading when applied to nonstationary series, often resulting in inaccurate models and poor forecasts. Hence, testing time series stationarity is important especially with the advent of the ‘data revolution’ and the recent explosion in the number of nonstationary time series analysis tools. Most existing stationarity tests rely on a single basis. We propose new tests that use nondecimated basis libraries which permit discovery of a wider range of nonstationary behaviours, with greater power whilst preserving acceptable statistical size. Our tests work with a wide range of time series including those whose marginal distributions possess heavy tails. We provide freeware R software that implements our tests and a range of graphical tools to identify the location and duration of nonstationarities. Theoretical and simulated power calculations show the superiority of our wavelet packet approach in a number of important situations and, hence, we suggest that the new tests are useful additions to the analyst's toolbox.

dc.format.extent558-583
dc.languageen
dc.language.isoen
dc.publisherElsevier BV
dc.subjectStationarity test
dc.subjectLocal stationarity
dc.subjectBootstrap
dc.titlePractical powerful wavelet packet tests for second-order stationarity
dc.typejournal-article
dc.typeArticle
plymouth.author-urlhttps://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000428834200003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008
plymouth.issue3
plymouth.volume44
plymouth.publication-statusPublished
plymouth.journalApplied and Computational Harmonic Analysis
dc.identifier.doi10.1016/j.acha.2016.06.006
plymouth.organisational-group/Plymouth
plymouth.organisational-group/Plymouth/Faculty of Science and Engineering
plymouth.organisational-group/Plymouth/Faculty of Science and Engineering/School of Engineering, Computing and Mathematics
plymouth.organisational-group/Plymouth/REF 2021 Researchers by UoA
plymouth.organisational-group/Plymouth/REF 2021 Researchers by UoA/EXTENDED UoA 10 - Mathematical Sciences
plymouth.organisational-group/Plymouth/REF 2021 Researchers by UoA/UoA10 Mathematical Sciences
plymouth.organisational-group/Plymouth/Users by role
plymouth.organisational-group/Plymouth/Users by role/Academics
dcterms.dateAccepted2016-06-19
dc.identifier.eissn1096-603X
dc.rights.embargoperiodNot known
rioxxterms.versionofrecord10.1016/j.acha.2016.06.006
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserved
rioxxterms.licenseref.startdate2018-05
rioxxterms.typeJournal Article/Review


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