Stationarity tests in time series model building |
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| Authors: | Mukhtar M. Ali Richard Thalheimer |
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| Abstract: | Optimum non-parametric tests for stationarity of a stochastic process against location and scale shift alternatives are explored. Usefulnesss of these tests in detecting a suitable differencing transformation that reduces a non-stationary time series to a stationary one is illustrated with a number of previously analysed real life data. |
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| Keywords: | Stationarity tests Nonparametric tests Time series Analysis Model building |
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