Tests for nonstationarity
Tests for nonstationarity
复制标题
非平稳性检验
DOI：
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发表时间：
1984
期刊：
影响因子：
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通讯作者：
Y. Tsao
中科院分区：
文献类型：
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作者：
Y. Tsao
大多数实用的随机过程或多或少都是非平稳的。平稳性的概念似乎只是一个数学模型。那么，问题是如何确定在给定时间序列中强调的非平稳程度。本文解释了如何以及为什么可以使用时间序列的估计演化谱来检验随机过程的非平稳性；这些方法本质上是对Priestley的演化谱检验技术的修正和推广。本文还提出了多种测试模型，包括使用离散(或等间隔)频段的“双向”测试和“三向”测试。开发的技术应用于从飞机飞越事件中捕获的合成和实际声学数据。
Most practical random processes are more or less nonstationary. The concept of stationarity appears to be merely a mathematical model. The question then is how to decide the ‘‘degree’’ of nonstationarity underlined in a given time series. This report explains how and why estimated evolutionary spectra of the time series can be used to test the nonstationarity for the random processes; the methods are essentially the modification and extension of Priestley’s evolutionary spectrum test technique. Various test models are further proposed in this paper including ‘‘two‐way’’ and ‘‘three‐way’’ tests using both discrete (or equispaced) frequency and/or frequency bands. The techniques developed are applied to both synthetic and practical acoustic data captured from aircraft fly‐over events.