On-Line Monitoring the Stationarity for Time Seires
Zhan Shou Chen · Applied Mechanics and Materials · 2013
When analyzing time series an important issue is to decide whether the time series is stationary or nonstationary. Fixed sample statistical tests for that problem are well studies in the literature. In this paper we propose a moving variance ratio statistic to monitor the stationarity for normal sequence. Our Monte Carlo studies show that the proposed monitoring procedure has satisfactory test power and that the decision can often be made very early.