Computational Model Library

Stationarity Test (1.0.0)

This is a stationarity test, it tests whether a given moment is constant during the time series (null hypothesis). The Wald Wolfowitz nonparametric fitness test is applied to time series. The test uses the “overall moment” of a time series as a constant fitness function for the moment computed over a set of subsample of the same time series. If the null is not rejected, the subsample moments are constant.

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Associated Publications

Stationarity Test 1.0.0

Submitted by Jakob Grazzini Published Nov 29, 2010 Last modified Feb 23, 2018
agentbasedmodel nonparametric simulator statistics

This is a stationarity test, it tests whether a given moment is constant during the time series (null hypothesis). The Wald Wolfowitz nonparametric fitness test is applied to time series. The test uses the “overall moment” of a time series as a constant fitness function for the moment computed over a set of subsample of the same time series. If the null is not rejected, the subsample moments are constant.

Cite this Model

Jakob Grazzini (2013, April 27). “Stationarity Test” (Version 1.0.0). CoMSES Computational Model Library. Retrieved from: https://www.comses.net/codebases/2280/releases/1.0.0/

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Contributors
Jakob Grazzini
DOI
No assigned DOI
Model Version
1.0.0
License
GPL-2.0
Programming Language
Python
Software Framework
None
Operating System
Other
Publish Date
Monday, November 29, 2010
Last Updated
Tuesday, February 20, 2018
Downloads 534
Peer Review
Unreviewed
Version Submitter First published Last modified Status
1.0.0 Jakob Grazzini Mon Nov 29 19:26:39 2010 Tue Feb 20 10:53:07 2018 Published

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