TY - JOUR
T1 - A periodogram-based test for weak stationarity and consistency between sections in time series
AU - Halliday, D.M.
AU - Rosenberg, J.R.
AU - Rigas, A.
AU - Conway, B.A.
PY - 2009/5/30
Y1 - 2009/5/30
N2 - In one approach to spectral estimation, a sample record is broken into a number of disjoint sections, or data is collected over a number of discrete trials. Spectral parameters are formed by averaging periodograms across these discrete sections or trials. A key assumption in this approach is that of weak stationarity. This paper describes a simple test that checks if periodogram ordinates are consistent across sections as a means of assessing weak stationarity. The test is called the Periodogram Coefficient of Variation (PCOV) test, and is a frequency domain test based on a technique of spectral analysis. Application of the test is illustrated to both simulated and experimental data (EMG, physiological tremor, EEG). An additional role for the test as a useful tool in exploratory analysis of time series is highlighted.
AB - In one approach to spectral estimation, a sample record is broken into a number of disjoint sections, or data is collected over a number of discrete trials. Spectral parameters are formed by averaging periodograms across these discrete sections or trials. A key assumption in this approach is that of weak stationarity. This paper describes a simple test that checks if periodogram ordinates are consistent across sections as a means of assessing weak stationarity. The test is called the Periodogram Coefficient of Variation (PCOV) test, and is a frequency domain test based on a technique of spectral analysis. Application of the test is illustrated to both simulated and experimental data (EMG, physiological tremor, EEG). An additional role for the test as a useful tool in exploratory analysis of time series is highlighted.
KW - spectral analysis
KW - periodogram
KW - time series
KW - stationarity
KW - EEG
KW - EMG
UR - http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6T04-4VXB8R6-1&_user=875629&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_acct=C000046979&_version=1&_urlVersion=0&_userid=875629&md5=fa2a575150c781c019bf2a646229cad8
UR - http://dx.doi.org/10.1016/j.jneumeth.2009.03.009
U2 - 10.1016/j.jneumeth.2009.03.009
DO - 10.1016/j.jneumeth.2009.03.009
M3 - Article
VL - 180
SP - 138
EP - 146
JO - Journal of Neuroscience Methods
JF - Journal of Neuroscience Methods
ER -