Simulation Study Comparing Two Tests of Second-order Stationarity and Confidence Intervals for Localized Autocovariance
Guy Nason
TL;DR
This paper compares two tests of second-order stationarity via simulation, provides examples of localized autocovariances with confidence intervals, and empirically verifies an asymptotic Gaussianity result.
Contribution
It introduces a simulation-based comparison of stationarity tests and demonstrates confidence interval estimation for localized autocovariances.
Findings
Comparison of two stationarity tests through simulation
Examples of localized autocovariances with confidence intervals
Empirical verification of asymptotic Gaussianity
Abstract
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.
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Taxonomy
TopicsImage and Signal Denoising Methods · Blind Source Separation Techniques · Structural Health Monitoring Techniques