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

Halliday, D.M. and Rosenberg, J.R. and 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. pp. 138-146.

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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: Article
ID code: 13791
Keywords: spectral analysis, periodogram, time series, stationarity, EEG, EMG, Bioengineering, Engineering (General). Civil engineering (General), Neuroscience(all)
Subjects: Technology > Engineering (General). Civil engineering (General) > Bioengineering
Technology > Engineering (General). Civil engineering (General)
Department: Faculty of Engineering > Bioengineering
Related URLs:
Depositing user: Ms Ashley Urie
Date Deposited: 17 Dec 2009 17:56
Last modified: 04 Sep 2014 23:48
URI: http://strathprints.strath.ac.uk/id/eprint/13791

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