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Multi-scale test procedure for non-stationarity in short and long memory time series

O. Kouamo 1 Cedric Gouy-Pailler 1
1 LADIS - Laboratoire d'analyse des données et d'intelligence des systèmes
DM2I - Département Métrologie Instrumentation & Information : DRT/LIST/DM2I
Abstract : In this paper, we develop a test procedure for non-stationarity for possibly long-memory processes. Contrary to most of the proposed methods, the test procedure has the same distribution for short-range and long-range dependence stationary processes. Such tests have been already proposed in [1], but these authors do not have taken into account the dependence of the wavelet coefficients within scales and between scales. We also propose an application to electric power consumption monitoring.
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https://hal-cea.archives-ouvertes.fr/cea-01830774
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Submitted on : Thursday, July 5, 2018 - 1:12:57 PM
Last modification on : Monday, March 30, 2020 - 2:36:03 PM

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O. Kouamo, Cedric Gouy-Pailler. Multi-scale test procedure for non-stationarity in short and long memory time series. 2013 IEEE International Conference on Acoustics, Speech and Signal Processing, May 2013, Vancouver, BC, Canada. pp.5368-5372, ⟨10.1109/ICASSP.2013.6638688⟩. ⟨cea-01830774⟩

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