A periodogram-based test for weak stationarity and consistency between sections in time series

Halliday, D.M., Rosenberg, J.R., Rigas, A. and Conway, B.A. (2009) A periodogram-based test for weak stationarity and consistency between sections in time series. Journal of Neuroscience Methods, 180(1), pp. 138-146. (doi: 10.1016/j.jneumeth.2009.03.009)

Abstract

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.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Rosenberg, Prof Jay
• Authors: Halliday, D.M., Rosenberg, J.R., Rigas, A., and Conway, B.A.
• Subjects: R Medicine > RC Internal medicine > RC0321 Neuroscience. Biological psychiatry. Neuropsychiatry; Q Science > QA Mathematics
• College/School: College of Medical Veterinary and Life Sciences
• Journal Name: Journal of Neuroscience Methods
• ISSN: 0165-0270
• Published Online: 24 March 2009