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Measuring deviations from stationarity

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  • Tjøstheim, Dag

Abstract

Various parameters for measuring the deviation from stationarity for processes belonging to two classes of nonstationarity processes are proposed. Several new results for the two types of processes are obtained. Points of contact are established with the class of oscillatory processes and with the Hamiltonian equation of motion in quantum mechanics. The relation to processes of normal type and to innovations stable processes is also discussed.

Suggested Citation

  • Tjøstheim, Dag, 1980. "Measuring deviations from stationarity," Stochastic Processes and their Applications, Elsevier, vol. 10(2), pages 145-160, September.
    • Handle: RePEc:eee:spapps:v:10:y:1980:i:2:p:145-160
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