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

O. Kouamo (1) , Cedric Gouy-Pailler (1)

1 LADIS (CEA, LIST) - Laboratoire d'analyse des données et d'intelligence des systèmes (CEA, LIST)

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.

Mots clés: Change-points; Electric power consumption; Long memory process; Long range dependence; Long-memory time series; Stationary process; Wavelet; Wavelet coefficients; Electric utilities; Signal processing; Stochastic systems; Testing

Domaines: Traitement du signal et de l'image [eess.SP]; Méthodologie [stat.ME]; Energie électrique

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⟩