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Stationarity Statistics on Rolling Windows

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  • Joseph Ross

    (Splunk Inc.)

Abstract

We devise an expression of the KPSS stationarity statistic which is incremental–decremental in the sense that points can be added to and removed from the window to which the statistic pertains with overhead and computation independent of the window size. This represents a step towards online time series classification and has applications to performing parts of the Box–Jenkins methodology in the online setting.

Suggested Citation

  • Joseph Ross, 2021. "Stationarity Statistics on Rolling Windows," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 655-691, February.
    • Handle: RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09974-4
    DOI: 10.1007/s10614-020-09974-4
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    References listed on IDEAS

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