Skip to Main content Skip to Navigation
Conference papers

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.
Keywords : Wavelet Wavelet coefficients Electric utilities Signal processing Stochastic systems Testing Stationary process Long-memory time series Long range dependence Long memory process Electric power consumption Change-points
Document type :
Conference papers
Complete list of metadata
https://hal-cea.archives-ouvertes.fr/cea-01830774
Contributor : Léna Le Roy Connect in order to contact the contributor
Submitted on : Thursday, July 5, 2018 - 1:12:57 PM
Last modification on : Tuesday, December 14, 2021 - 3:53:12 AM

Identifiers

Collections

CEA | DRT | LIST | DM2I

Citation

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⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Les métriques sont temporairement indisponibles