Simulation Study Comparing Two Tests of Second-order Stationarity and Confidence Intervals for Localized Autocovariance
Guy P. Nason · arXiv (Cornell University) · 2016
This report compares two tests of second-order stationarity through simulation. It also provides several examples of localised autocovariances and their approximate confidence intervals on different real and simulated data sets. An empirical verification of an asymptotic Gaussianity result is also demonstrated. The commands use to produce figures in a companion paper are also described.